On the efficiency of pseudo-marginal random walk Metropolis algorithms

Understand

We examine the behaviour of the pseudo-marginal random walk Metropolis algorithm, where evaluations of the target density for the accept/reject probability are estimated rather than computed precisely.

• Under relatively general conditions on the target distribution, we obtain limiting formulae for the acceptance rate and for the expected squared jump distance, as the dimension of the target approaches infinity, under the assumption that the noise in the estimate of the log-target is additive and is independent of the position.
• For targets with independent and identically distributed components, we also obtain a limiting diffusion for the first component.
• We then consider the overall efficiency of the algorithm, in terms of both speed of mixing and computational time.