most citedAdaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals

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stat.CO2008★ 1 cited

Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals

P. Giordani, R. Kohn

We construct an adaptive independent Metropolis-Hastings sampler that uses a mixture of normals as a proposal distribution. To take full advantage of the potential of adaptive samp…