Examples of Adaptive MCMC

نویسندگان

  • Gareth O. Roberts
  • Jeffrey S. Rosenthal
چکیده

We investigate the use of adaptive MCMC algorithms to automatically tune the Markov chain parameters during a run. Examples include the Adaptive Metropolis (AM) multivariate algorithm of Haario et al. (2001), Metropolis-within-Gibbs algorithms for non-conjugate hierarchical models, regionally adjusted Metropolis algorithms, and logarithmic scalings. Computer simulations indicate that the algorithms perform very well compared to nonadaptive algorithms, even in high dimension.

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تاریخ انتشار 2009