Exact sampling with highly uniform point sets
Mathematical and Computer Modelling: An International Journal
Parallel hierarchical sampling: A general-purpose interacting Markov chains Monte Carlo algorithm
Computational Statistics & Data Analysis
Interacting multiple try algorithms with different proposal distributions
Statistics and Computing
Zero variance Markov chain Monte Carlo for Bayesian estimators
Statistics and Computing
A generalized multiple-try version of the Reversible Jump algorithm
Computational Statistics & Data Analysis
On the flexibility of the design of multiple try Metropolis schemes
Computational Statistics
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The Multiple-Try Metropolis is a recent extension of the Metropolis algorithm in which the next state of the chain is selected among a set of proposals. We propose a modification of the Multiple-Try Metropolis algorithm which allows for the use of correlated proposals, particularly antithetic and stratified proposals. The method is particularly useful for random walk Metropolis in high dimensional spaces and can be used easily when the proposal distribution is Gaussian. We explore the use of quasi Monte Carlo (QMC) methods to generate highly stratified samples. A series of examples is presented to evaluate the potential of the method.