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Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalised linear mixed models

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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  • O. F. Christensen
  • J. Møller
  • R. P. Waagepetersen
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<mark>Journal publication date</mark>09/2001
<mark>Journal</mark>Methodology and Computing in Applied Probability
Issue number3
Volume3
Number of pages19
Pages (from-to)309-327
Publication StatusPublished
<mark>Original language</mark>English

Abstract

Conditional simulation is useful in connection with inference and prediction for a generalized linear mixed model. We consider random walk Metropolis and Langevin-Hastings algorithms for simulating the random effects given the observed data, when the joint distribution of the unobserved random effects is multivariate Gaussian. In particular we study the desirable property of geometric ergodicity, which ensures the validity of central limit theorems for Monte Carlo estimates.