Diffusion Limit for the Random Walk Metropolis Algorithm out of stationarity

Juan Kuntz; Michela Ottobre; Andrew M. Stuart

doi:10.1214/18-AIHP929

Diffusion Limit for the Random Walk Metropolis Algorithm out of stationarity

Juan Kuntz, Michela Ottobre, Andrew M. Stuart

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

73 Downloads (Pure)

Original language	English
Pages (from-to)	1599-1648
Number of pages	50
Journal	Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
Volume	55
Issue number	3
DOIs	https://doi.org/10.1214/18-AIHP929
Publication status	Published - 1 Aug 2019

Keywords

Diffusion limit
Markov Chain Monte Carlo
Optimal scaling
Random Walk Metropolis algorithm

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1214/18-AIHP929

Download pdfAccepted author manuscript, 752 KBLicence: All Rights Reserved

Cite this

@article{8ca153a6fce249c2b909fee08027a7a7,

title = "Diffusion Limit for the Random Walk Metropolis Algorithm out of stationarity",

keywords = "Diffusion limit, Markov Chain Monte Carlo, Optimal scaling, Random Walk Metropolis algorithm",

author = "Juan Kuntz and Michela Ottobre and Stuart, {Andrew M.}",

year = "2019",

month = aug,

day = "1",

doi = "10.1214/18-AIHP929",

language = "English",

volume = "55",

pages = "1599--1648",

journal = "Annales de l'Institut Henri Poincar{\'e}, Probabilit{\'e}s et Statistiques",

issn = "0246-0203",

publisher = "Institute of Mathematical Statistics",

number = "3",

}

TY - JOUR

T1 - Diffusion Limit for the Random Walk Metropolis Algorithm out of stationarity

AU - Kuntz, Juan

AU - Ottobre, Michela

AU - Stuart, Andrew M.

PY - 2019/8/1

Y1 - 2019/8/1

KW - Diffusion limit

KW - Markov Chain Monte Carlo

KW - Optimal scaling

KW - Random Walk Metropolis algorithm

UR - http://www.scopus.com/inward/record.url?scp=85074188446&partnerID=8YFLogxK

U2 - 10.1214/18-AIHP929

DO - 10.1214/18-AIHP929

M3 - Article

SN - 0246-0203

VL - 55

SP - 1599

EP - 1648

JO - Annales de l'Institut Henri Poincaré, Probabilités et Statistiques

JF - Annales de l'Institut Henri Poincaré, Probabilités et Statistiques

IS - 3

ER -

Diffusion Limit for the Random Walk Metropolis Algorithm out of stationarity

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Profiles

Michela Ottobre

Cite this