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Robust adaptive Metropolis algorithm with coerced acceptance rate

Abstract:

The adaptive Metropolis (AM) algorithm of Haario, Saksman and Tamminen (Bernoulli 7(2):223-242, 2001) uses the estimated covariance of the target distribution in the proposal distribution. This paper introduces a new robust adaptive Metropolis algorithm estimating the shape of the target distribution and simultaneously coercing the acceptance rate. The adaptation rule is computationally simple adding no extra cost compared with the AM algorithm. The adaptation strategy can be seen as a multid...

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Publisher copy:
10.1007/s11222-011-9269-5

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Journal:
Statistics and Computing More from this journal
Volume:
22
Issue:
5
Pages:
997-1008
Publication date:
2012-09-01
DOI:
EISSN:
1573-1375
ISSN:
0960-3174
Language:
English
Keywords:
Pubs id:
pubs:487892
UUID:
uuid:fb1c345c-54fa-4856-8c3b-f1aaa3079d0d
Local pid:
pubs:487892
Source identifiers:
487892
Deposit date:
2014-11-11

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