A brief tutorial on transformation based Markov chain Monte Carlo and optimal scaling of the additive transformation

DOI10.1214/16-BJPS325zbMath1378.60100arXiv1307.1446MaRDI QIDQ1674033

Sourabh Bhattacharya, Kushal Kr. Dey

Publication date: 1 November 2017

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.1446

zbMATH Keywords

random walkoptimal scalinghigh dimensiondiffusion limittransformation-based Markov chain Monte Carloadditive transformation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Bayesian inference (62F15) Monte Carlo methods (65C05)

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