Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
Work
Year: 2012
Type: article
Abstract: We consider the optimal scaling problem for high-dimensional random walk Metropolis (RWM) algorithms where the target distribution has a discontinuous probability density function. Almost all previous... more
Institutions University of Manchester, Manchester University, University of Warwick, Brock University
Cites: 25
Cited by: 38
Related to: 10
FWCI: 3.639
Citation percentile (by year/subfield): 89.83
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Sustainable cities and communities
Open Access status: bronze