期刊
COMPUTATIONAL STATISTICS
卷 20, 期 2, 页码 265-273出版社
SPRINGER HEIDELBERG
DOI: 10.1007/BF02789703
关键词
MCMC; adaptive MCMC; Metropolis-Hastings algorithm
We introduce a new adaptive MCMC algorithm, based on the traditional single component Metropolis-Hastings algorithm and on our earlier adaptive Metropolis algorithm (AM). In the new algorithm the adaption is performed component by component. The chain is no more Markovian, but it remains ergodic. The algorithm is demonstrated to work well in varying test cases up to 1000 dimensions.
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