Lancaster EPrints

Geometric ergodicity of Metropolis algorithms.

Jarner, Søren Fiig and Hansen, Ernst (2000) Geometric ergodicity of Metropolis algorithms. Stochastic Processes and their Applications, 85 (2). pp. 341-361.

Full text not available from this repository.

Abstract

In this paper we derive conditions for geometric ergodicity of the random-walk-based Metropolis algorithm on . We show that at least exponentially light tails of the target density is a necessity. This extends the one-dimensional result of Mengersen and Tweedie (1996, Ann. Statist. 24, 101–121). For super-exponential target densities we characterize the geometrically ergodic algorithms and we derive a practical sufficient condition which is stable under addition and multiplication. This condition is especially satisfied for the class of densities considered in Roberts and Tweedie (1996, Biometrika 83, 95–110).

Item Type: Article
Journal or Publication Title: Stochastic Processes and their Applications
Uncontrolled Keywords: Monte carls ; Metropolis algorithm ; Geometric ergodicity ; Super-exponential densities
Subjects: Q Science > QA Mathematics
Departments: UNSPECIFIED
ID Code: 19354
Deposited By: ep_ss_importer
Deposited On: 17 Nov 2008 14:50
Refereed?: Yes
Published?: Published
Last Modified: 12 Sep 2014 09:25
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19354

Actions (login required)

View Item