On the geometric ergodicity of hybrid samplers.

Fort, G. and Moulines, E. and Roberts, G. O. and Rosenthal, J. S. (2003) On the geometric ergodicity of hybrid samplers. Journal of Applied Probability, 40 (1). pp. 123-146.

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In this paper, we consider the random-scan symmetric random walk Metropolis algorithm (RSM) on Rd. This algorithm performs a Metropolis step on just one coordinate at a time (as opposed to the full-dimensional symmetric random walk Metropolis algorithm, which proposes a transition on all coordinates at once). We present various sufficient conditions implying V-uniform ergodicity of the RSM when the target density decreases either subexponentially or exponentially in the tails.

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Journal Article
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Journal of Applied Probability
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08 Oct 2016 00:06
Last Modified:
19 Sep 2023 23:49