On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution

DOI10.1111/1467-9469.00324zbMath1038.65005OpenAlexW2140456618MaRDI QIDQ4455943

Jørund Gåsemur

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10400

zbMATH Keywords

algorithmconvergenceMarkov chain Monte-Carlo methodadaptive independent chainMetropololis-Hastings algorithm

Mathematics Subject Classification ID

Related Items (7)

On the ergodicity properties of some adaptive MCMC algorithms ⋮ Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm ⋮ An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions ⋮ Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection ⋮ Adaptive independent Metropolis-Hastings ⋮ On adaptive Metropolis-Hastings methods ⋮ Adaptive Incremental Mixture Markov Chain Monte Carlo

Cites Work

• Exact sampling with coupled Markov chains and applications to statistical mechanics
• A comparison of two sequential Metropolis-Hastings algorithms with standard simulation techniques in Bayesian inference in reliability models involving a generalized gamma distribution

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