Computational Statistics

, Volume 28, Issue 6, pp 2797–2823

On the flexibility of the design of multiple try Metropolis schemes

Original Paper

DOI: 10.1007/s00180-013-0429-2

Cite this article as:
Martino, L. & Read, J. Comput Stat (2013) 28: 2797. doi:10.1007/s00180-013-0429-2

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 

Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Department of Signal Theory and CommunicationsUniversidad Carlos III de MadridLeganés, MadridSpain