A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases

DOI10.1214/17-BJPS386zbMath1478.60208arXiv1405.0913OpenAlexW2962894825MaRDI QIDQ2415489

Sourabh Bhattacharya, Kushal Kr. Dey

Publication date: 22 May 2019

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

Full work available at URL: https://arxiv.org/abs/1405.0913

zbMATH Keywords

diffusionItô formulaoptimal scalingnon-regularadditive transformationtransformation based Markov chain Monte Carlo

Mathematics Subject Classification ID

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

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