On the ergodicity of the adaptive Metropolis algorithm on unbounded domains (Q614121): Difference between revisions

The authors describe sufficient conditions to ensure the correct ergodicity of the adaptive Metropolis algorithm for target distributions with a noncompact support; see \textit{H.~Haario}, \textit{E.~Saksman}, and \textit{J.~Tamminen} [Bernoulli 7, No.~2, 223--242 (2001; Zbl 0989.65004)]; see also \textit{C.~Andrieu} and \textit{É.~Moulines} [Ann. Appl. Probab. 16, No.~3, 1462--1505 (2006; Zbl 1114.65001)]. The work is essentially self-contained, and assumes little background knowledge.