Martino, Luca; Olmo, Victor Pascual Del; Read, Jesse - In: Statistics & Probability Letters 82 (2012) 7, pp. 1445-1453
The multi-point Metropolis algorithm is an advanced MCMC technique based on drawing several correlated samples at each step and choosing one of them according to some normalized weights. We propose a variation of this technique where the weight functions are not specified, i.e., the analytic...