A multi-point Metropolis scheme with generic weight functions

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dc.contributor.author Martino, Luca
dc.contributor.author Pascual Del Olmo, Víctor
dc.contributor.author Read, Jesse Michael
dc.date.accessioned 2013-04-09T11:53:52Z
dc.date.available 2013-04-09T11:53:52Z
dc.date.issued 2012-07
dc.identifier.bibliographicCitation Statistics & Probability Letters, Volume 82, Issue 7, July 2012, Pages 1445-1453.
dc.identifier.issn 0167-7152
dc.identifier.uri http://hdl.handle.net/10016/16641
dc.description.abstract The 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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier
dc.subject.other Multiple Try Metropolis algorithm
dc.subject.other Multi-point Metropolis algorithm
dc.subject.other MCMC methods
dc.title A multi-point Metropolis scheme with generic weight functions
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.spl.2012.04.008
dc.subject.eciencia Informática
dc.identifier.doi 10.1016/j.spl.2012.04.008
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 1445
dc.identifier.publicationissue 7
dc.identifier.publicationlastpage 1453
dc.identifier.publicationtitle Statistics and probability letters
dc.identifier.publicationvolume 82
dc.identifier.uxxi AR/0000010121
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