\(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm

DOI10.1016/S0167-7152(00)00074-2zbMath0981.60032OpenAlexW2079434032MaRDI QIDQ1587711

Gersende Fort, Eric Moulines

Publication date: 14 March 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00074-2

zbMATH Keywords

\(V\)-ergodic at a subgeometrical rate\(V\)-subgeometric drift criterionsymmetric random-walk Hastings-Metropolis algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Limit theorems in probability theory (60F99)

Related Items (18)

Polynomial convergence rates of Markov chains ⋮ Practical drift conditions for subgeometric rates of convergence. ⋮ Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques ⋮ Limit theorems for some adaptive MCMC algorithms with subgeometric kernels ⋮ Markov chain Monte Carlo: can we trust the third significant figure? ⋮ Polynomial convergence rates of piecewise deterministic Markov processes ⋮ Metropolis-Hastings algorithms with acceptance ratios of nearly 1 ⋮ Nonasymptotic bounds on the estimation error of MCMC algorithms ⋮ Algebraic convergence of Markov chains ⋮ Perfect simulation for a class of positive recurrent Markov chains ⋮ Subgeometric ergodicity and β-mixing ⋮ Sub-exponential rate of convergence to equilibrium for processes on the half-line ⋮ Quantitative non-geometric convergence bounds for independence samplers ⋮ Ergodicity of Markov chain Monte Carlo with reversible proposal ⋮ Bounds on regeneration times and limit theorems for subgeometric Markov chains ⋮ On the convergence of stochastic approximations under a subgeometric ergodic Markov dynamic ⋮ Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes ⋮ Polynomial ergodicity of Markov transition kernels.

Cites Work

• Unnamed Item
• Markov chains and stochastic stability
• Geometric ergodicity of Metropolis algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Rates of convergence of the Hastings and Metropolis algorithms
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• One-sided error estimates in renewal theory
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications

This page was built for publication: \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm