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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Official URL: https://doi.org/10.1239/jap/1044476831
Abstract
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.
Item Type:
Journal Article
Journal or Publication Title:
Journal of Applied Probability
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
Departments:
ID Code:
81958
Deposited By:
Deposited On:
08 Oct 2016 00:06
Refereed?:
Yes
Published?:
Published
Last Modified:
19 Sep 2023 23:49