Weak convergence and optimal scaling of random walk Metropolis algorithms

• 1 February 1997
• journal article
• Published by Institute of Mathematical Statistics in The Annals of Applied Probability
• Vol. 7  (1) , 110-120
• https://doi.org/10.1214/aoap/1034625254

Abstract

Keywords

• DIFFUSION PROCESS
• RANDOM WALK
• METROPOLIS ALGORITHM
• STOCHASTIC PROCESS
• MARKOV CHAIN
• MARKOV CHAIN MONTE CARLO
• WEAK CONVERGENCE
• DIFFUSION APPROXIMATION