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most citedMultilevel Delayed Acceptance MCMC with an Adaptive Error Model in PyMC3

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stat.CO2016

Metropolis-Hastings algorithms with autoregressive proposals, and a few examples

Richard A. Norton, Colin Fox

We analyse computational efficiency of Metropolis-Hastings algorithms with stochastic AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusio…