On the ergodicity of the adaptive Metropolis algorithm on unbounded domains (Q614121)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the ergodicity of the adaptive Metropolis algorithm on unbounded domains |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the ergodicity of the adaptive Metropolis algorithm on unbounded domains |
scientific article |
Statements
On the ergodicity of the adaptive Metropolis algorithm on unbounded domains (English)
0 references
27 December 2010
0 references
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.
0 references
adaptive Markov chain Monte Carlo method
0 references
convergence
0 references
ergodicity
0 references
Metropolis algorithm
0 references
stochastic approximation
0 references
0 references
0 references
0 references
0.8452582955360413
0 references
0.842771053314209
0 references
0.8373236656188965
0 references
0.8368632197380066
0 references
0.8255999088287354
0 references
