On the geometric ergodicity of Metropolis-Hastings algorithms

DOI10.1080/10485250601033214zbMath1131.65004MaRDI QIDQ5429699

François Perron, Yves F. Atchadé

Publication date: 3 December 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250601033214

zbMATH Keywords

global stability; Metropolis-Hastings algorithm; geometric ergodicity; Markov chain operator; Monte Carlo estimation; independent Metropolis-Hastings algorithm

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

60J27: Continuous-time Markov processes on discrete state spaces

60J35: Transition functions, generators and resolvents

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Cites Work

• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• On the Markov chain central limit theorem
• Markov chains for exploring posterior distributions. (With discussion)
• Rates of convergence of the Hastings and Metropolis algorithms
• Geometric L² and ^{L1 convergence are equivalent for reversible Markov chains}
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Markov-chain monte carlo: Some practical implications of theoretical results