Diffusive Limits for Adaptive MCMC for Normal Target densities
Statistics Theory
2014-12-01 v2 Probability
Statistics Theory
Abstract
In this paper we apply the Diffusion approximation procedure to a discrete time Adaptive Markov Chain Monte Carlo (AMCMC) method when the target distribution is standard Normal. We show that the limiting distribution of the diffusion admits a density which we identify as the standard Normal distribution.
Cite
@article{arxiv.1301.4030,
title = {Diffusive Limits for Adaptive MCMC for Normal Target densities},
author = {Gopal K. Basak and Arunangshu Biswas},
journal= {arXiv preprint arXiv:1301.4030},
year = {2014}
}