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2006.417: Optimal Scaling for Random walk Metropolis on spherically constrained target densities

2006.417: Peter Neal and Gareth Roberts (2007) Optimal Scaling for Random walk Metropolis on spherically constrained target densities.

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Abstract

We consider the problem of optimal scaling of the proposal variance for multidimensional Random walk Metropolis (RWM) 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 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:MIMS Preprint
Additional Information:

Submitted to Methodology and Computing in Applied Probability

Uncontrolled Keywords: Random walk Metropolis algorithm, Markov chain Monte Carlo, optimal scaling, spherical distributions.
Subjects:MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 62 Statistics
MIMS number:2006.417
Deposited By:Dr Peter Neal
Deposited On:09 July 2007

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