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What is Adaptive MCMC Algorithm Examples about?

This document summarizes examples of adaptive Markov chain Monte Carlo (MCMC) algorithms that automatically tune parameters during a run. It describes the Adaptive Metropolis (AM) algorithm, which estimates the covariance structure of the target distribution and uses it to adapt the proposal distribution. Computer simulations show the AM algorithm can efficiently sample from complicated high-dimensional distributions, though it takes time to properly adapt. The algorithm is shown to converge to the target d

Author

Putra Manggala

Language

EN