Robust adaptive Metropolis algorithm with coerced acceptance rate
The adaptive Metropolis (AM) algorithm of Haario, Saksman and Tamminen (Bernoulli 7(2):223-242, 2001) uses the estimated covariance of the target distribution in the proposal distribution. This paper introduces a new robust adaptive Metropolis algorithm estimating the shape of the target distributio...
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| Format: | Journal article |
| Language: | English |
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2012
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