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Optimal scaling for various Metropolis-Hastings algorithms. (English) Zbl 1127.65305

Summary: We review and extend results related to optimal scaling of Metropolis-Hastings algorithms. We present various theoretical results for the high-dimensional limit. We also present simulation studies which confirm the theoretical results in finite-dimensional contexts.

MSC:

65C05 Monte Carlo methods
60J05 Discrete-time Markov processes on general state spaces
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