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Geometric ergodicity of Metropolis algorithms.

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Published
  • Søren Fiig Jarner
  • Ernst Hansen
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<mark>Journal publication date</mark>1/02/2000
<mark>Journal</mark>Stochastic Processes and their Applications
Issue number2
Volume85
Number of pages21
Pages (from-to)341-361
Publication StatusPublished
<mark>Original language</mark>English

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).