Original Paper

Computational Statistics

, Volume 28, Issue 6, pp 2797-2823

First online:

On the flexibility of the design of multiple try Metropolis schemes

  • Luca MartinoAffiliated withDepartment of Signal Theory and Communications, Universidad Carlos III de Madrid Email author 
  • , Jesse ReadAffiliated withDepartment of Signal Theory and Communications, Universidad Carlos III de Madrid

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Abstract

The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis–Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities, show different numerical simulations and discuss the implications of the results.

Keywords

Metropolis–Hasting method Multiple try Metropolis algorithm Multi-point Metropolis algorithm MCMC techniques