Year: 2005
Type: preprint
Abstract: I 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.
Source: arXiv (Cornell University)
Author: Neal, Radford M.
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1516919007