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On the geometric ergodicity of hybrid samplers.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
  • G. Fort
  • E. Moulines
  • G. O. Roberts
  • J. S. Rosenthal
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<mark>Journal publication date</mark>2003
<mark>Journal</mark>Journal of Applied Probability
Issue number1
Volume40
Number of pages24
Pages (from-to)123-146
Publication StatusPublished
<mark>Original language</mark>English

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.