On the flexibility of the design of multiple try Metropolis schemes

Luca Martino () and Jesse Read ()

Computational Statistics, 2013, vol. 28, issue 6, 2797-2823

Abstract: The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis–Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities, show different numerical simulations and discuss the implications of the results. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Metropolis–Hasting method; Multiple try Metropolis algorithm; Multi-point Metropolis algorithm; MCMC techniques (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:28:y:2013:i:6:p:2797-2823

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DOI: 10.1007/s00180-013-0429-2

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