The Short-Cut Metropolis Method

Simple item page
dc.creatorNeal, Radford M.
dc.date2005-08-02
dc.date.accessioned2026-07-07T08:07:07Z
dc.date.available2026-07-07T08:07:07Z
dc.descriptionI show how one can modify the random-walk Metropolis MCMC method in such a way that a sequence of modified Metropolis updates takes little computation time when the rejection rate is outside a desired interval. This allows one to effectively adapt the scale of the Metropolis proposal distribution, by performing several such "short-cut" Metropolis sequences with varying proposal stepsizes. Unlike other adaptive Metropolis schemes, this method converges to the correct distribution in the same fashion as the standard Metropolis method.
dc.identifierhttps://arxiv.org/abs/math/0508060
dc.identifierhttp://arxiv.org/abs/math/0508060
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130835
dc.subjectStatistics Theory
dc.titleThe Short-Cut Metropolis Method
dc.typetext

Files

Collections

arXiv