Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities

DOI10.1214/20-AAP1612zbMath1476.60125arXiv1910.09485OpenAlexW3148941049WikidataQ124802885 ScholiaQ124802885MaRDI QIDQ2240841

Wilfrid S. Kendall, Jure Vogrinc

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.09485

zbMATH Keywords

fractional Brownian motionMarkov chain Monte CarloMetropolis-HastingsMetropolis-adjusted Langevin algorithmrandom walk Metropolisanomalous optimal scalingexpected square jump distance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05)

Related Items (1)

Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)

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