Multiplicative random walk Metropolis-Hastings on the real line
نویسندگان
چکیده
منابع مشابه
On directional Metropolis-Hastings algorithms
Metropolis–Hastings algorithms are used to simulate Markov chains with limiting distribution equal to a specified target distribution. The current paper studies target densities on R. In directional Metropolis–Hastings algorithms each iteration consists of three steps i) generate a line by sampling an auxiliary variable, ii) propose a new state along the line, and iii) accept/reject according t...
متن کاملOn adaptive Metropolis-Hastings methods
This paper presents a method for adaptation in Metropolis-Hastings algorithms. A product of a proposal density and K copies of the target density is used to define a joint density which is sampled by a Gibbs sampler including a Metropolis step. This provides a framework for adaptation since the current value of all K copies of the target distribution can be used in the proposal distribution. Th...
متن کاملSpatially Non-uniform Random Walk on the Real Line
The random walk is a mathematical counterpart of a Brownian particle system and has been used as a powerful theoretical tool to understand random dispersal phenomena. If temperature is not spatially constant, the mean free path and the traveling time for the path has variation in space. In this paper we investigate behavior of a simple random walk having spatially dependent walk length and jump...
متن کاملImproving on the Independent Metropolis-Hastings Algorithm
This paper proposes methods to improve Monte Carlo estimates when the Independent MetropolisHastings Algorithm (IMHA) is used. Our rst approach uses a control variate based on the sample generated by the proposal distribution. We derive the variance of our estimator for a xed sample size n and show that, as n tends to in nity, this variance is asymptotically smaller than the one obtained with t...
متن کاملOn the efficiency of pseudo-marginal random walk Metropolis algorithms
We examine the behaviour of the pseudo-marginal random walk Metropolis algorithm, where evaluations of the target density for the accept/reject probability are estimated rather than computed precisely. Under relatively general conditions on the target distribution, we obtain limiting formulae for the acceptance rate and for the expected squared jump distance, as the dimension of the target appr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Sankhya B
سال: 2012
ISSN: 0976-8386,0976-8394
DOI: 10.1007/s13571-012-0040-5