Optimal scaling of random-walk metropolis algorithms on general target distributions
Jun Yang, Gareth O. Roberts, Jeffrey S. Rosenthal
Topics & Concepts
MathematicsScalingRandom walkMarkov chain Monte CarloBayesian probabilityMetropolis–Hastings algorithmDistribution (mathematics)Applied mathematicsAlgorithmPrior probabilityAsymptotically optimal algorithmLimit (mathematics)Mathematical optimizationProbability distributionStatistical physicsStatisticsMathematical analysisGeometryPhysicsMarkov Chains and Monte Carlo MethodsStochastic processes and statistical mechanicsBayesian Methods and Mixture Models