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Geometric ergodicity of Metropolis algorithms.

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Geometric ergodicity of Metropolis algorithms. / Jarner, Søren Fiig; Hansen, Ernst.
In: Stochastic Processes and their Applications, Vol. 85, No. 2, 01.02.2000, p. 341-361.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Jarner, SF & Hansen, E 2000, 'Geometric ergodicity of Metropolis algorithms.', Stochastic Processes and their Applications, vol. 85, no. 2, pp. 341-361. https://doi.org/10.1016/S0304-4149(99)00082-4

APA

Jarner, S. F., & Hansen, E. (2000). Geometric ergodicity of Metropolis algorithms. Stochastic Processes and their Applications, 85(2), 341-361. https://doi.org/10.1016/S0304-4149(99)00082-4

Vancouver

Jarner SF, Hansen E. Geometric ergodicity of Metropolis algorithms. Stochastic Processes and their Applications. 2000 Feb 1;85(2):341-361. doi: 10.1016/S0304-4149(99)00082-4

Author

Jarner, Søren Fiig ; Hansen, Ernst. / Geometric ergodicity of Metropolis algorithms. In: Stochastic Processes and their Applications. 2000 ; Vol. 85, No. 2. pp. 341-361.

Bibtex

@article{c258ece0852543869a021c5483b7964f,
title = "Geometric ergodicity of Metropolis algorithms.",
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).",
keywords = "Monte carls, Metropolis algorithm, Geometric ergodicity, Super-exponential densities",
author = "Jarner, {S{\o}ren Fiig} and Ernst Hansen",
year = "2000",
month = feb,
day = "1",
doi = "10.1016/S0304-4149(99)00082-4",
language = "English",
volume = "85",
pages = "341--361",
journal = "Stochastic Processes and their Applications",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - Geometric ergodicity of Metropolis algorithms.

AU - Jarner, Søren Fiig

AU - Hansen, Ernst

PY - 2000/2/1

Y1 - 2000/2/1

N2 - 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).

AB - 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).

KW - Monte carls

KW - Metropolis algorithm

KW - Geometric ergodicity

KW - Super-exponential densities

U2 - 10.1016/S0304-4149(99)00082-4

DO - 10.1016/S0304-4149(99)00082-4

M3 - Journal article

VL - 85

SP - 341

EP - 361

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -