Leisen, Fabrizio; Casarin, Roberto; Luengo, David; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
We introduce a new class of adaptive Metropolis algorithms called adaptive sticky algorithms for efficient general …-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and … interpolation of support points from the past history of the chain as in the adaptive rejection Metropolis. The algorithm efficiency …