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: | 26 Jul 2012 15:28 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/19354 |
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