Diffusive Limits for Adaptive MCMC for Normal Target densities
classification
🧮 math.ST
math.PRstat.TH
keywords
distributionnormaladaptivediffusionstandardtargetadmitsamcmc
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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.
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