Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
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Publication:139529
DOI10.1214/12-aos1048zbMath1297.60052arXiv1302.6741MaRDI QIDQ139529
Charles J. Geyer, Leif T. Johnson, Charles J. Geyer, Leif T. Johnson
Publication date: 1 December 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.6741
Markov chain Monte Carlo; exponential family; conjugate prior; change of variable; drift condition; Markov chain isomorphism; Metropolis-Hastings-Green algorithm
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
60J05: Discrete-time Markov processes on general state spaces
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