How the effectiveness of skilling''s method scales

Reference no: EM131319123

Discuss how the effectiveness of Skilling's method scales with dimensionality, using a correlated N-dimensional Gaussian distribution as an example. Find an expression for the rejection probability, assuming the Markov chain is at equilibrium. Also discuss how it scales with the strength of correlation among the Gaussian variables. [Hint: Skilling's method is invariant under affine transformations, so the rejection probability at equilibrium can be found by looking at the case of a separable Gaussian.]

Reference no: EM131319123

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