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Computer ScienceMathematics

Adaptive proposal distribution for random walk Metropolis algorithm

H. Haario, E. Saksman, J. Tamminen

1999.11.16COMPUTATIONAL STATISTICS

DOI: 10.1007/s001800050022

tlooto Summary

Although the stationary distribution of the AP algorithm is slightly biased, it appears to provide an efficient tool for, e.g., reasonably low dimensional problems, as typically encountered in non-linear regression problems in natural sciences.

Abstract

Abstract is not available.

Citation format

HAARIO, H.; SAKSMAN, E.; TAMMINEN, J. Adaptive proposal distribution for random walk metropolis algorithm. COMPUTATIONAL STATISTICS, 1999, 14: 375–395.