An adaptive multiple-try Metropolis algorithm

DOI10.3150/21-BEJ1408OpenAlexW4224309854MaRDI QIDQ2137054

Simon Fontaine, Mylène Bédard

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-3/An-adaptive-multiple-try-Metropolis-algorithm/10.3150/21-BEJ1408.full

zbMATH Keywords

ergodicitylimit theoremmultiple candidatesadaptive scalingloss of heterozygosityrandom walk samplerrobust adaptation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes (60Jxx) Probabilistic methods, stochastic differential equations (65Cxx) Limit theorems in probability theory (60Fxx)

Uses Software

• ramcmc

Cites Work

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