Extremal indices, geometric ergodicity of Markov chains and MCMC

DOI10.1007/s10687-006-0028-5zbMath1142.65011WikidataQ58406743 ScholiaQ58406743MaRDI QIDQ2463676

Jeffrey S. Rosenthal, Johan Segers, Gareth O. Roberts, Bruno Sousa

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-0028-5

zbMATH Keywords

Markov chain Monte Carlo; heavy tails; Metropolis algorithm

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60G70: Extreme value theory; extremal stochastic processes

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

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