Componentwise adaptation for high dimensional MCMC
- Cite this article as:
- Haario, H., Saksman, E. & Tamminen, J. Computational Statistics (2005) 20: 265. doi:10.1007/BF02789703
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We introduce a new adaptive MCMC algorithm, based on the traditional single component Metropolis-Hastings algorithm and on our earlier adaptive Metropolis algorithm (AM). In the new algorithm the adaption is performed component by component. The chain is no more Markovian, but it remains ergodic. The algorithm is demonstrated to work well in varying test cases up to 1000 dimensions.