Optimal scaling for random walk Metropolis on spherically constrained target densities

DOI10.1007/S11009-007-9046-2MaRDI QIDQ931379zbMATH OpenOpenAlexFDO

Authors Peter Neal, Gareth O. Roberts

Publication date 25 June 2008

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL http://eprints.maths.manchester.ac.uk/676/1/hypersphere_191206_submit.pdf

zbMATH Keywords

Markov chain Monte CarloOptimal scalingRandom walk Metropolis algorithmSpherical distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 472922 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Bayesian computation and stochastic systems. With comments and reply.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Markov chains and stochastic stability
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimal scaling for partially updating MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(22)

• Objective Bayesian analysis for the differential entropy of the Weibull distribution
• Objective Bayesian analysis for \(\log\)-logistic distribution
• Properties of k -record posteriors for the Weibull model
• Optimal volume-corrected Laplace-Metropolis method
• Sampling constrained probability distributions using spherical augmentation
• Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
• Information-geometric Markov chain Monte Carlo methods using diffusions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Sampling constrained continuous probability distributions: a review
• Bayesian analysis of Birnbaum-Saunders distribution via the generalized ratio-of-uniforms method
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
• Objective Bayesian analysis for the Weibull distribution with partial information under the generalized type-II progressive hybrid censoring scheme
• Population Monte Carlo algorithm in high dimensions
• Objective Bayesian analysis of the Fréchet stress-strength model
• Objective Bayesian analysis of accelerated degradation models based on Wiener process with correlation
• Reference analysis for Birnbaum-Saunders distribution
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Estimation based on hybrid censored data from the power Lindley distribution

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