葫芦娃视频

Adaptive Strategies for Component-Wise Metropolis-Hastings

Adaptive ideas within the MCMC universe are ubiquitous. However, proving the validity of an adaptive MCMC sampler can be a complicated affair, especially because of the so-called Containment Condition. Recent theoretical developments that will be briefly discussed have simplified this latter task. We propose a novel adaptive MCMC for component-wise Metropolis-Hastings using a simple and intuitive design that relies on the Multiple-try Metropolis transition kernel. This聽 Adaptive Component-Wise Multiple-try Metropolis is compared with other existing adaptive CMH samplers using numerical experiments. This is joint work with Jinyoung Yang and Jeffrey Rosenthal.