Christensen, Ole F.; Roberts, Gareth O.; Rosenthal, … - In: Journal of the Royal Statistical Society Series B 67 (2005) 2, pp. 253-268
The paper considers high dimensional Metropolis and Langevin algorithms in their initial transient phase. In stationarity, these algorithms are well understood and it is now well known how to scale their proposal distribution variances. For the random-walk Metropolis algorithm, convergence...