Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm

DOI10.1214/12-AOS1048zbMATH Open1297.60052arXiv1302.6741MaRDI QIDQ139529FDOQ139529

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)

Abstract: A random-walk Metropolis sampler is geometrically ergodic if its equilibrium density is super-exponentially light and satisfies a curvature condition [Stochastic Process. Appl. 85 (2000) 341-361]. Many applications, including Bayesian analysis with conjugate priors of logistic and Poisson regression and of log-linear models for categorical data result in posterior distributions that are not super-exponentially light. We show how to apply the change-of-variable formula for diffeomorphisms to obtain new densities that do satisfy the conditions for geometric ergodicity. Sampling the new variable and mapping the results back to the old gives a geometrically ergodic sampler for the original variable. This method of obtaining geometric ergodicity has very wide applicability.

Full work available at URL: https://arxiv.org/abs/1302.6741

zbMATH Keywords

Markov chain Monte Carloconjugate priorchange of variabledrift conditionexponential familyMarkov chain isomorphismMetropolis-Hastings-Green algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (12)

• Speed up Zig-Zag
• Transport Map Accelerated Markov Chain Monte Carlo
• On the theoretical properties of the exchange algorithm
• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Bayesian Inverse Problems with $l_1$ Priors: A Randomize-Then-Optimize Approach
• Geometric ergodicity of the bouncy particle sampler
• mcmc
• Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Deterministic Bayesian information fusion and the analysis of its performance
• Ergodicity of the zigzag process

Uses Software

• mcmc

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