Adaptive independent Metropolis–Hastings
نویسندگان
چکیده
منابع مشابه
Adaptive Independent Metropolis – Hastings
We propose an adaptive independent Metropolis–Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis–Hastings algorithm. Convergence is proved provided a strong Doeblin condition is satisfied, which essentially requires that all the proposal functions have uniformly heavier tails than th...
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We propose an adaptive independent Metropolis–Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis–Hastings algorithm. Convergence is proved provided a strong Doeblin condition is satisfied, which essentially requires that all the proposal functions have uniformly heavier tails than th...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2009
ISSN: 1050-5164
DOI: 10.1214/08-aap545