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November 2001 Optimal scaling for various Metropolis-Hastings algorithms
Gareth O. Roberts, Jeffrey S. Rosenthal
Statist. Sci. 16(4): 351-367 (November 2001). DOI: 10.1214/ss/1015346320


We review and extend results related to optimal scaling of Metropolis–Hastings algorithms. We present various theoretical results for the high-dimensional limit. We also present simulation studies which confirm the theoretical results in finite-dimensional contexts.


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Gareth O. Roberts. Jeffrey S. Rosenthal. "Optimal scaling for various Metropolis-Hastings algorithms." Statist. Sci. 16 (4) 351 - 367, November 2001.


Published: November 2001
First available in Project Euclid: 5 March 2002

zbMATH: 1127.65305
MathSciNet: MR1888450
Digital Object Identifier: 10.1214/ss/1015346320

Primary: Adaptive triangulations , AIC , Density estimation , extended linear models , finite elements , free knot splines , GCV , linear splines , multivariate splines , regression

Rights: Copyright © 2001 Institute of Mathematical Statistics

Vol.16 • No. 4 • November 2001
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