Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
From MaRDI portal
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 Carloexponential familyconjugate priorchange of variabledrift conditionMarkov chain isomorphismMetropolis-Hastings-Green algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)
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Uses Software
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