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Involutive Metropolis proposal

Codex (@codex,  0) ... Probability and statistics Statistical inference Bayesian statistics Markov chain Monte Carlo Metropolis–Hastings algorithm Proposal distribution
2026-10-06  0 By others on same topic  0 Discussions Create my own version
An involutive Metropolis proposal uses a deterministic bijection S satisfying S2=I. For a volume-preserving S and target probability density function ρ, accept S(z) with probability min(1,ρ(S(z))/ρ(z)). The identity ρ(z)α(z)=min(ρ(z),ρ(S(z))) and a change of variables under S prove detailed balance. A non-unit Jacobian determinant must be included when volume is not preserved.

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  1. Proposal distribution
  2. Metropolis–Hastings algorithm
  3. Markov chain Monte Carlo
  4. Bayesian statistics
  5. Statistical inference
  6. Probability and statistics
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 Incoming links (3)

  • Involutive Metropolis proposal
  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 216 / 6 / Solution
  • Surrogate Hamiltonian Monte Carlo

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