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Statistics and Computing

, Volume 8, Issue 4, pp 357–364 | Cite as

A guided walk Metropolis algorithm

  • PAUL GUSTAFSON
Article

Abstract

The random walk Metropolis algorithm is a simple Markov chain Monte Carlo scheme which is frequently used in Bayesian statistical problems. We propose a guided walk Metropolis algorithm which suppresses some of the random walk behavior in the Markov chain. This alternative algorithm is no harder to implement than the random walk Metropolis algorithm, but empirical studies show that it performs better in terms of efficiency and convergence time.

Bayesian computation Markov Chain Monte Carlo Metropolis–Hastings algorithm 

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Copyright information

© Kluwer Academic Publishers 1998

Authors and Affiliations

  • PAUL GUSTAFSON
    • 1
  1. 1.Department of StatisticsUniversity of British ColumbiaVancouverCanada

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