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Table 9 (Ex-Sect-9.6.1). MSE in the estimation of the hyper-parameters θ with N G =2000

From: Adaptive independent sticky MCMC algorithms

Algorithm MH (σ p =1) MH (σ p =2) MH (σ p =3) IA2RMS-P4 AISM-P4-R3
MSE 6.21 5.08 6.83 3.12 3.46
Time 1 1 1 1.64 1.42
  1. Note that IA2RMS is a special case of AISM which employs the equivalent proposal p t (x) min{q t (x),π(x)}, and the rule R3 (see Section 6.1). In IA2RMS, we have used the construction procedure P4 in order to build q t (x). The computing times are normalized w.r.t. the time spent by MH