A Sequential Metropolis - Hastingsalgorithmpierre
نویسنده
چکیده
This paper deals with the asymptotic properties of the Metropolis-Hastings algorithm, when the distribution of interest is unknown, but can be approximated by a sequential estimator of its density. We prove that, under very simple conditions, the rate of convergence of the Metropolis-Hastings algorithm is the same as that of the sequential estimator when the latter is introduced as the reversible measure for the Metropolis-Hastings Kernel. This problem is a natural extension of previous a work on a new simulated annealing algorithm with a sequential estimator of the energy.
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