Multiplicative random walk Metropolis-Hastings on the real line

DOI10.1007/S13571-012-0040-5zbMATHOpenAlexMaRDI QIDQ356503FDO

Authors Somak Dutta

Publication date 25 July 2013

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.5227

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastings algorithmgeometric ergodicityLangevin algorithmmultiplicative random walkrandom walk algorithmshare-price returnthick tailed density

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: In this article we propose multiplication based random walk Metropolis Hastings (MH) algorithm on the real line. We call it the random dive MH (RDMH) algorithm. This algorithm, even if simple to apply, was not studied earlier in Markov chain Monte Carlo literature. The associated kernel is shown to have standard properties like irreducibility, aperiodicity and Harris recurrence under some mild assumptions. These ensure basic convergence (ergodicity) of the kernel. Further the kernel is shown to be geometric ergodic for a large class of target densities on $mathbbR$. This class even contains realistic target densities for which random walk or Langevin MH are not geometrically ergodic. Three simulation studies are given to demonstrate the mixing property and superiority of RDMH to standard MH algorithms on real line. A share-price return data is also analyzed and the results are compared with those available in the literature.

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Cited in

(2)

• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Markov chain Monte Carlo based on deterministic transformations

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