Geometric convergence of the Metropolis-Hastings simulation algorithm

DOI10.1016/S0167-7152(98)00096-0MaRDI QIDQ1273019zbMATHOpenAlexFDO

Authors Lars Holden

Publication date 20 June 1999

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

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00096-0

zbMATH Keywords

convergenceMetropolis-Hastings algorithm

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Random number generation in numerical analysis (65C10) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Markov chains and stochastic stability
• Monte Carlo sampling methods using Markov chains and their applications
• Rates of convergence of the Hastings and Metropolis algorithms

Cited in

(15)

• Geometric ergodicity of Metropolis algorithms
• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• On the convergence of the Metropolis-Hastings Markov chains
• Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling
• A geometric interpretation of the Metropolis-Hastings algorithm.
• On the geometric ergodicity of Metropolis-Hastings algorithms
• Mixing of MCMC algorithms
• Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalized linear mixed models
• Rates of convergence of the Hastings and Metropolis algorithms
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.
• Numerical Results for the Metropolis Algorithm
• Adaptive independent Metropolis-Hastings
• scientific article; zbMATH DE number 5722739 (Why is no real title available?)
• Markov-chain monte carlo: Some practical implications of theoretical results

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