Does waste recycling really improve the multi-proposal metropolis-hastings algorithm? An analysis based on control variates

Journal of Applied Probability

Volumn 46, Issue 4, 2009, Pages 938-959

  Delmas, Jean François ^a   Jourdain, Benjamin ^b  

^a UNIVERSITÉ PARIS EST   (France)

^b UNIVERSITÉ PARIS EST   (France)

Author keywords

Central limit theorem; Control variates; Ergodic theorem; Metropolis Hastings algorithm; Monte carlo markov chain; Multi proposal algorithm; Variance reduction

Indexed keywords

EID: 76449089530     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1261670681     Document Type: Article

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