Optimal Scaling for Random Walk Metropolis on Spherically Constrained Target Densities
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DOI: 10.1007/s11009-007-9046-2
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References listed on IDEAS
- Gareth O. Roberts & Jeffrey S. Rosenthal, 1998. "Optimal scaling of discrete approximations to Langevin diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(1), pages 255-268.
- Breyer, L. A. & Roberts, G. O., 2000. "From metropolis to diffusions: Gibbs states and optimal scaling," Stochastic Processes and their Applications, Elsevier, vol. 90(2), pages 181-206, December.
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Cited by:
- Abbas, Kamran & Tang, Yincai, 2014. "Objective Bayesian analysis of the Frechet stress–strength model," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 169-175.
- Peter Neal & Gareth Roberts, 2011. "Optimal Scaling of Random Walk Metropolis Algorithms with Non-Gaussian Proposals," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 583-601, September.
- Yang, Jun & Roberts, Gareth O. & Rosenthal, Jeffrey S., 2020. "Optimal scaling of random-walk metropolis algorithms on general target distributions," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6094-6132.
- Jeong Eun Lee & Ross McVinish & Kerrie Mengersen, 2011. "Population Monte Carlo Algorithm in High Dimensions," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 369-389, June.
- Xu, Ancha & Tang, Yincai, 2010. "Reference analysis for Birnbaum-Saunders distribution," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 185-192, January.
- Min Wang & Xiaoqian Sun & Chanseok Park, 2016. "Bayesian analysis of Birnbaum–Saunders distribution via the generalized ratio-of-uniforms method," Computational Statistics, Springer, vol. 31(1), pages 207-225, March.
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Keywords
Random walk Metropolis algorithm; Markov chain Monte Carlo; Optimal scaling; Spherical distributions;All these keywords.
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