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Optimal scaling for random walk Metropolis on spherically constrained target densities
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Neal, Peter and Roberts, Gareth O. (2008) Optimal scaling for random walk Metropolis on spherically constrained target densities. Methodology and Computing in Applied Probability, Vol.10 (No.2). pp. 277-297. doi:10.1007/s11009-007-9046-2 ISSN 1387-5841.
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Official URL: http://dx.doi.org/10.1007/s11009-007-9046-2
Abstract
We consider the problem of optimal scaling of the proposal variance for multidimensional random walk Metropolis algorithms. It is well known, for a wide range of continuous target densities, that the optimal scaling of the proposal variance leads to an average acceptance rate of 0.234. Therefore a natural question is, do similar results hold for target densities which have discontinuities? In the current work, we answer in the affirmative for a class of spherically constrained target densities. Even though the acceptance probability is more complicated than for continuous target densities, the optimal scaling of the proposal variance again leads to an average acceptance rate of 0.234.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Random walks (Mathematics), Markov processes, Monte Carlo method, Distribution (Probability theory) | ||||
Journal or Publication Title: | Methodology and Computing in Applied Probability | ||||
Publisher: | Springer | ||||
ISSN: | 1387-5841 | ||||
Official Date: | June 2008 | ||||
Dates: |
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Volume: | Vol.10 | ||||
Number: | No.2 | ||||
Number of Pages: | 21 | ||||
Page Range: | pp. 277-297 | ||||
DOI: | 10.1007/s11009-007-9046-2 | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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