Population Monte Carlo Algorithm in High Dimensions
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DOI: 10.1007/s11009-009-9154-2
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- Peter Neal & Gareth Roberts, 2008. "Optimal Scaling for Random Walk Metropolis on Spherically Constrained Target Densities," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 277-297, June.
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Keywords
Asymptotic variance of estimate; Central limit theorem; Importance sampling; Markov chain Monte Carlo; Population Monte Carlo;All these keywords.
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