We review and extend results related to optimal scaling of
Metropolis–Hastings algorithms. We present various theoretical results
for the high-dimensional limit. We also present simulation studies which
confirm the theoretical results in finite-dimensional contexts.
Publié le : 2001-11-14
Classification:
Adaptive
triangulations,
AIC,
density estimation,
extended linear
models,
finite elements,
free knot splines,
GCV,
linear splines,
multivariate splines,
regression
@article{1015346320,
author = {Roberts, Gareth O. and Rosenthal, Jeffrey S.},
title = {Optimal scaling for various Metropolis-Hastings algorithms},
journal = {Statist. Sci.},
volume = {16},
number = {2},
year = {2001},
pages = { 351-367},
language = {en},
url = {http://dml.mathdoc.fr/item/1015346320}
}
Roberts, Gareth O.; Rosenthal, Jeffrey S. Optimal scaling for various Metropolis-Hastings algorithms. Statist. Sci., Tome 16 (2001) no. 2, pp. 351-367. http://gdmltest.u-ga.fr/item/1015346320/