Optimal scaling of random-walk metropolis algorithms on general target distributions
One main limitation of the existing optimal scaling results for Metropolis–Hastings algorithms is that the assumptions on the target distribution are unrealistic. In this paper, we consider optimal scaling of random-walk Metropolis algorithms on general target distributions in high dimensions arisin...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2020
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