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On the geometric ergodicity of hybrid samplers.

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On the geometric ergodicity of hybrid samplers. / Fort, G.; Moulines, E.; Roberts, G. O. et al.
In: Journal of Applied Probability, Vol. 40, No. 1, 2003, p. 123-146.

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

Harvard

Fort, G, Moulines, E, Roberts, GO & Rosenthal, JS 2003, 'On the geometric ergodicity of hybrid samplers.', Journal of Applied Probability, vol. 40, no. 1, pp. 123-146. https://doi.org/10.1239/jap/1044476831

APA

Fort, G., Moulines, E., Roberts, G. O., & Rosenthal, J. S. (2003). On the geometric ergodicity of hybrid samplers. Journal of Applied Probability, 40(1), 123-146. https://doi.org/10.1239/jap/1044476831

Vancouver

Fort G, Moulines E, Roberts GO, Rosenthal JS. On the geometric ergodicity of hybrid samplers. Journal of Applied Probability. 2003;40(1):123-146. doi: 10.1239/jap/1044476831

Author

Fort, G. ; Moulines, E. ; Roberts, G. O. et al. / On the geometric ergodicity of hybrid samplers. In: Journal of Applied Probability. 2003 ; Vol. 40, No. 1. pp. 123-146.

Bibtex

@article{9b7de3b69928415fbe976bddc1b4887d,
title = "On the geometric ergodicity of hybrid samplers.",
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.",
author = "G. Fort and E. Moulines and Roberts, {G. O.} and Rosenthal, {J. S.}",
year = "2003",
doi = "10.1239/jap/1044476831",
language = "English",
volume = "40",
pages = "123--146",
journal = "Journal of Applied Probability",
publisher = "University of Sheffield",
number = "1",

}

RIS

TY - JOUR

T1 - On the geometric ergodicity of hybrid samplers.

AU - Fort, G.

AU - Moulines, E.

AU - Roberts, G. O.

AU - Rosenthal, J. S.

PY - 2003

Y1 - 2003

N2 - 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.

AB - 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.

U2 - 10.1239/jap/1044476831

DO - 10.1239/jap/1044476831

M3 - Journal article

VL - 40

SP - 123

EP - 146

JO - Journal of Applied Probability

JF - Journal of Applied Probability

IS - 1

ER -