Orthogonal-mixture Metropolis proposal
ID: orthogonal-mixture-metropolis-proposal
For a proposal , with isotropic and an independent random orthogonal matrix , invariance of the distribution of under transpose makes the proposal distribution symmetric. Indeed , and averaging the isotropic Gaussian density over an inversion-invariant law yields . The Metropolis–Hastings algorithm therefore accepts with the target density ratio alone.
New to topics? Read the docs here!