most citedOptimal scaling of random walk Metropolis algorithms with discontinuous target densities

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math.PR2012★ 26 cited

Optimal scaling of random walk Metropolis algorithms with discontinuous target densities

Peter Neal, Gareth Roberts, Wai Kong Yuen

We consider the optimal scaling problem for high-dimensional random walk Metropolis (RWM) algorithms where the target distribution has a discontinuous probability density function.…