dc.contributor.author |
Cai, B |
en |
dc.contributor.author |
Meyer, Renate |
en |
dc.contributor.author |
Perron, F |
en |
dc.date.accessioned |
2012-03-07T20:10:37Z |
en |
dc.date.issued |
2008 |
en |
dc.identifier.citation |
Statistics and Computing 18(4):421-433 2008 |
en |
dc.identifier.issn |
0960-3174 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/13291 |
en |
dc.description.abstract |
Different strategies have been proposed to improve mixing and convergence properties of Markov Chain Monte Carlo algorithms. These are mainly concerned with customizing the proposal density in the Metropolis–Hastings algorithm to the specific target density and require a detailed exploratory analysis of the stationary distribution and/or some preliminary experiments to determine an efficient proposal. Various Metropolis–Hastings algorithms have been suggested that make use of previously sampled states in defining an adaptive proposal density. Here we propose a general class of adaptive Metropolis–Hastings algorithms based on Metropolis–Hastings-within-Gibbs sampling. For the case of a one-dimensional target distribution, we present two novel algorithms using mixtures of triangular and trapezoidal densities. These can also be seen as improved versions of the all-purpose adaptive rejection Metropolis sampling (ARMS) algorithm to sample from non-logconcave univariate densities. Using various different examples, we demonstrate their properties and efficiencies and point out their advantages over ARMS and other adaptive alternatives such as the Normal Kernel Coupler. |
en |
dc.publisher |
Springer |
en |
dc.relation.ispartofseries |
Statistics and Computing |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Metropolis-Hastings algorithms with adaptive proposals |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1007/s11222-008-9051-5 |
en |
pubs.begin-page |
421 |
en |
pubs.volume |
18 |
en |
dc.rights.holder |
Copyright: Springer |
en |
pubs.end-page |
433 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
91957 |
en |
pubs.org-id |
Science |
en |
pubs.org-id |
Statistics |
en |
pubs.record-created-at-source-date |
2010-09-01 |
en |