Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
From MaRDI portal
Publication:139529
DOI10.1214/12-aos1048zbMath1297.60052arXiv1302.6741MaRDI QIDQ139529
Charles J. Geyer, Leif T. Johnson, Charles J. Geyer, Leif T. Johnson
Publication date: 1 December 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.6741
Markov chain Monte Carloexponential familyconjugate priorchange of variabledrift conditionMarkov chain isomorphismMetropolis-Hastings-Green algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)
Related Items
On the theoretical properties of the exchange algorithm, Transport Map Accelerated Markov Chain Monte Carlo, Geometric ergodicity of the bouncy particle sampler, Speed up Zig-Zag, Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain, Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances, Deterministic Bayesian information fusion and the analysis of its performance, Bayesian Inverse Problems with $l_1$ Priors: A Randomize-Then-Optimize Approach, Ergodicity of Markov chain Monte Carlo with reversible proposal, Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition, mcmc, Ergodicity of the zigzag process
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- A general framework for the parametrization of hierarchical models
- Rigorous confidence bounds for MCMC under a geometric drift condition
- On the central limit theorem for an ergodic Markov chain
- General state space Markov chains and MCMC algorithms
- On the Markov chain central limit theorem
- Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
- Conjugate priors for exponential families
- Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
- Geometric ergodicity and hybrid Markov chains
- Necessary conditions for geometric and polynomial ergodicity of random-walk-type Markov chains
- Geometric ergodicity of Metropolis algorithms
- Polynomial convergence rates of Markov chains
- Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
- Markov chains for exploring posterior distributions. (With discussion)
- Rates of convergence of the Hastings and Metropolis algorithms
- Gibbs sampling for a Bayesian hierarchical general linear model
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Stability of the Gibbs sampler for Bayesian hierarchical models
- General Irreducible Markov Chains and Non-Negative Operators
- Sampling-Based Approaches to Calculating Marginal Densities
- Handbook of Markov Chain Monte Carlo
- Markov Chains and Stochastic Stability
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The Calculation of Posterior Distributions by Data Augmentation
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Variational Analysis
- Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
- Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques
- Monte Carlo sampling methods using Markov chains and their applications
