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A multi-point Metropolis scheme with generic weight functions

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dc.affiliation.dptoUC3M. Departamento de Teoría de la Señal y Comunicacioneses
dc.affiliation.grupoinvUC3M. Grupo de Investigación: Tratamiento de la Señal y Aprendizaje (GTSA)es
dc.contributor.authorMartino, Luca
dc.contributor.authorPascual del Olmo, Víctor
dc.contributor.authorRead, Jesse Michael
dc.date.accessioned2013-04-09T11:53:52Z
dc.date.available2013-04-09T11:53:52Z
dc.date.issued2012-07
dc.description.abstractThe multi-point Metropolis algorithm is an advanced MCMC technique based on drawing several correlated samples at each step and choosing one of them according to some normalized weights. We propose a variation of this technique where the weight functions are not specified, i.e., the analytic form can be chosen arbitrarily. This has the advantage of greater flexibility in the design of high-performance MCMC samplers. We prove that our method fulfills the balance condition, and provide a numerical simulation. We also give new insight into the functionality of different MCMC algorithms, and the connections between them.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationStatistics & Probability Letters, Volume 82, Issue 7, July 2012, Pages 1445-1453.
dc.identifier.doi10.1016/j.spl.2012.04.008
dc.identifier.issn0167-7152
dc.identifier.publicationfirstpage1445
dc.identifier.publicationissue7
dc.identifier.publicationlastpage1453
dc.identifier.publicationtitleStatistics and probability letters
dc.identifier.publicationvolume82
dc.identifier.urihttp://hdl.handle.net/10016/16641
dc.identifier.uxxiAR/0000010121
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.spl.2012.04.008
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaInformática
dc.subject.otherMultiple Try Metropolis algorithm
dc.subject.otherMulti-point Metropolis algorithm
dc.subject.otherMCMC methods
dc.titleA multi-point Metropolis scheme with generic weight functions
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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