Näytä suppeat kuvailutiedot

dc.contributor.authorVihola, Matti
dc.date.accessioned2012-10-26T06:23:16Z
dc.date.available2012-10-26T06:23:16Z
dc.date.issued2011
dc.identifier.citationVihola, M. (2011). Can the adaptive Metropolis algorithm collapse without the covariance lower bound?. Electronic Journal of Probability, 16, 45-75. DOI:10.1214/EJP.v16-840.
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/40092
dc.description.abstractThe Adaptive Metropolis (AM) algorithm is based on the symmetric random-walk Metropolis algorithm. The proposal distribution has the following time-dependent covariance matrix at step $n+1$ \[ S_n = Cov(X_1,...,X_n) + \epsilon I, \] that is, the sample covariance matrix of the history of the chain plus a (small) constant $\epsilon>0$ multiple of the identity matrix $I$. The lower bound on the eigenvalues of $S_n$ induced by the factor $\epsilon I$ is theoretically convenient, but practically cumbersome, as a good value for the parameter $\epsilon$ may not always be easy to choose. This article considers variants of the AM algorithm that do not explicitly bound the eigenvalues of $S_n$ away from zero. The behaviour of $S_n$ is studied in detail, indicating that the eigenvalues of $S_n$ do not tend to collapse to zero in general.fi
dc.language.isoeng
dc.publisherInstitute of Mathematical Statistics
dc.relation.ispartofseriesElectronic Journal of Probability
dc.relation.urihttp://ejp.ejpecp.org/
dc.rightsThis work is licensed under a Creative Commons Attribution 3.0 License.
dc.subject.otherAdaptive Markov chain Monte Carloen
dc.subject.otherMetropolis algorithmen
dc.subject.otherstabilityen
dc.subject.otherstochastic approximationen
dc.subject.otheradaptiivinen Markov chain Monte Carlofi
dc.subject.otherMetropolis-algoritmifi
dc.subject.otherstabiiliusfi
dc.subject.otherstokastinen approksimaatiofi
dc.titleCan the adaptive Metropolis algorithm collapse without the covariance lower bound?
dc.typeArticle
dc.identifier.urnURN:NBN:fi:jyu-201210262789
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.identifier.doi10.1214/EJP.v16-840
dc.type.coarjournal article
dc.description.reviewstatuspeerReviewed
dc.relation.issn1083-6489
dc.type.versionpublishedVersion
dc.rights.accesslevelopenAccessfi
dc.rights.urlhttp://creativecommons.org/licenses/by/3.0/


Aineistoon kuuluvat tiedostot

Thumbnail

Aineisto kuuluu seuraaviin kokoelmiin

Näytä suppeat kuvailutiedot

This work is licensed under a Creative Commons Attribution 3.0 License.
Ellei muuten mainita, aineiston lisenssi on This work is licensed under a Creative Commons Attribution 3.0 License.