Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

DOI10.1016/J.MATCOM.2020.10.005MaRDI QIDQ1998313zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Leonid Iosipoi

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.00698

zbMATH Keywords

Markov chain Monte Carlonumerical integrationheavy-tailed distributions

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx) Inference from stochastic processes (62Mxx) Statistical sampling theory and related topics (62Dxx)

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Cited in

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• Fourier transform MCMC, heavy tailed distributions and geometric ergodicity

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