Minimising MCMC variance via diffusion limits, with an application to simulated tempering

Annals of Applied Probability

Volumn 24, Issue 1, 2014, Pages 131-149

  Roberts, Gareth O ^a   Rosenthal, Jeffrey S ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Diffusion limits; Markov chain monte carlo; Optimal scaling; Simulated tempering

Indexed keywords

EID: 84892416832     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AAP918     Document Type: Article

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