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Acceptance Rate

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Definition
StochasticProcesses

Definition

In the MH algorithm we define the acceptance rate, rr, as the threshold function that determines whether a state get’s accepted or not: r(xt1,y)=min{1,π(y)T(xt1y)π(xt1)T(yxt1)}r(x_{t-1},y)=\min\left\{1, \frac{\pi(y)T(x_{t-1}|y)}{\pi(x_{t-1})T(y|x_{t-1})} \right\}where xt1x_{t-1}is the previous state, yy is the proposed state, and T()T(\cdot|\cdot) is the proposal kernel.

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