The random walk Metropolis: linking theory and practice through a case study
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Abstract: The random walk Metropolis (RWM) is one of the most common Markov chain Monte Carlo algorithms in practical use today. Its theoretical properties have been extensively explored for certain classes of target, and a number of results with important practical implications have been derived. This article draws together a selection of new and existing key results and concepts and describes their implications. The impact of each new idea on algorithm efficiency is demonstrated for the practical example of the Markov modulated Poisson process (MMPP). A reparameterization of the MMPP which leads to a highly efficient RWM-within-Gibbs algorithm in certain circumstances is also presented.
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Cited in
(32)- Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
- Trajectory inference and parameter estimation in stochastic models with temporally aggregated data
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
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- Efficiency of delayed-acceptance random walk metropolis algorithms
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- Multiple imputation of missing covariates for the Cox proportional hazards cure model
- Gradient-free Gibbs sampler for shallow-wide Bayesian neural networks
- Fast likelihood calculations for emerging epidemics
- Hyperparameter optimization for randomized algorithms: a case study on random features
- Stereographic Markov chain Monte Carlo
- Robust Bayesian variable selection for the quantile varying coefficient model
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