Optimal Scaling for the Pseudo-Marginal Random Walk Metropolis: Insensitivity to the Noise Generating Mechanism
نویسندگان
چکیده
منابع مشابه
On 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...
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The RWM algorithm creates a Markov chain with stationary distribution π(x), and hence (eventually) a dependent sample with distribution ≈ π(x). Given the current value X ∈ R, a new value X∗ = X + Y is proposed by sampling a “jump”, Y, from from a pre-specified Lebesgue density q (y|x) = λ−d r (y/λ) , where r (−y) = r (y); the proposal is then accepted with probability α(x,y) = 1 ∧ (π(x∗)/π(x))....
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2015
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-015-9471-6