756 citations · 3.9k across the 84 of their papers we have counts for
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math.PR2006★ 82 cited
Optimal scaling for partially updating MCMC algorithms
Peter Neal, Gareth Roberts
In this paper we shall consider optimal scaling problems for high-dimensional Metropolis--Hastings algorithms where updates can be chosen to be lower dimensional than the target de…
math.PR2006★ 281 cited
Exact simulation of diffusions
Alexandros Beskos, Gareth O. Roberts
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applic…