Weak convergence and optimal scaling of random walk Metropolis algorithms

Annals of Applied Probability

Volumn 7, Issue 1, 1997, Pages 110-120

  Roberts, G O ^a   Gelman, A ^b   Gilks, W R ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b Columbia University ^*  (United States)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Markov chain Monte Carlo; Metropolis algorithm; Optimal scaling; Weak convergence

Indexed keywords

EID: 0031285157     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1034625254     Document Type: Article

References (8)

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