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We consider versions of the Metropolis algorithm which avoid the inefficiency of rejections.
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S. Malefaki and G. Iliopoulos (2008), On convergence of properly weighted samples to the target distribution. J. Stat. Plan. Inference 138
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C. Andrieu and G.O. Roberts (2009), The pseudo-marginal approach for efficient Monte Carlo computations. Ann. Stat. 37(2)
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G. Deligiannidis and A. Lee (2018), Which ergodic averages have finite asymptotic variance? Ann. Appl. Prob. 28(4)
2018
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J.S. Rosenthal (2019), A first look at stochastic processes. World Scientific Publishing, Singapore
2019
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