27 citations · 81 across the 21 of their papers we have counts for
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stat.ME2014★ 2 cited
Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
Kengo Kamatani
The purpose of this paper is to introduce a new Markov chain Monte Carlo method and exhibit its efficiency by simulation and high-dimensional asymptotic theory. Key fact is that ou…
stat.ME2014★ 3 cited
Rate optimality of Random walk Metropolis algorithm in high-dimension with heavy-tailed target distribution
Kengo Kamatani
The choice of the increment distribution is crucial for the random-walk Metropolis-Hastings (RWM) algorithm. In this paper we study the optimal choice in high-dimension setting amo…