A stable manifold MCMC method for high dimensions

We combine two important recent advancements of MCMC algorithms: first, methods utilizing the intrinsic manifold structure of the parameter space; then, algorithms effective for targets in infinite-dimensions with the critical property that their mixing time is robust to mesh refinement.

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Year of publication:	2014
Authors:	Beskos, Alexandros
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 90.2014, C, p. 46-52
Publisher:	Elsevier
Subject:	Manifold MCMC \| Metropolis-adjusted Langevin algorithm \| Cameron–Martin space \| Infinite dimensions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776537