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August 2018 Optimal scaling of the independence sampler: Theory and practice
Clement Lee, Peter Neal
Bernoulli 24(3): 1636-1652 (August 2018). DOI: 10.3150/16-BEJ908

Abstract

The independence sampler is one of the most commonly used MCMC algorithms usually as a component of a Metropolis-within-Gibbs algorithm. The common focus for the independence sampler is on the choice of proposal distribution to obtain an as high as possible acceptance rate. In this paper, we have a somewhat different focus concentrating on the use of the independence sampler for updating augmented data in a Bayesian framework where a natural proposal distribution for the independence sampler exists. Thus, we concentrate on the proportion of the augmented data to update to optimise the independence sampler. Generic guidelines for optimising the independence sampler are obtained for independent and identically distributed product densities mirroring findings for the random walk Metropolis algorithm. The generic guidelines are shown to be informative beyond the narrow confines of idealised product densities in two epidemic examples.

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Clement Lee. Peter Neal. "Optimal scaling of the independence sampler: Theory and practice." Bernoulli 24 (3) 1636 - 1652, August 2018. https://doi.org/10.3150/16-BEJ908

Information

Received: 1 November 2015; Revised: 1 July 2016; Published: August 2018
First available in Project Euclid: 2 February 2018

zbMATH: 06839248
MathSciNet: MR3757511
Digital Object Identifier: 10.3150/16-BEJ908

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

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Vol.24 • No. 3 • August 2018
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