Optimal scaling of random walk metropolis algorithms with discontinuous target densities

Annals of Applied Probability

Volumn 22, Issue 5, 2012, Pages 1880-1927

  Neal, Peter ^a   Roberts, Gareth ^b   Kong Yuen, Wai ^c  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c BROCK UNIVERSITY   (Canada)

Author keywords

Markov chain Monte Carlo; Optimal scaling; Random walk Metropolis

Indexed keywords

EID: 84879075321     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AAP817     Document Type: Article

References (17)

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