On the efficiency of pseudo-marginal random walk metropolis algorithms

Annals of Statistics

Volumn 43, Issue 1, 2015, Pages 238-275

  Sherlock, Chris ^a   Thiery, Alexandre H ^c   Roberts, Gareth O ^b   Rosenthal, Jeffrey S ^d  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^d UNIVERSITY OF TORONTO   (Canada)

Author keywords

Diffusion limit; Markov chain monte carlo; MCMC; Optimal scaling; Particle methods; Pseudo marginal random walk metropolis

Indexed keywords

EID: 84922540951     PISSN: 00905364     EISSN: 21688966     Source Type: Journal    
DOI: 10.1214/14-AOS1278     Document Type: Article

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