Searching for efficient Markov chain Monte Carlo proposal kernels.

ABSTRACT: Markov chain Monte Carlo (MCMC) or the Metropolis-Hastings algorithm is a simulation algorithm that has made modern Bayesian statistical inference possible. Nevertheless, the efficiency of different Metropolis-Hastings proposal kernels has rarely been studied except for the Gaussian proposal. Here we propose a unique class of Bactrian kernels, which avoid proposing values that are very close to the current value, and compare their efficiency with a number of proposals for simulating different target distributions, with efficiency measured by the asymptotic variance of a parameter estimate. The uniform kernel is found to be more efficient than the Gaussian kernel, whereas the Bactrian kernel is even better. When optimal scales are used for both, the Bactrian kernel is at least 50% more effi

SUBMITTER: Yang Z 

PROVIDER: S-EPMC3845170 | biostudies-literature | 2013 Nov

REPOSITORIES: biostudies-literature