Title: Optimal scaling for various Metropolis-Hastings algorithms
Abstract: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 whi...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.Read More