Multiplicative random walk Metropolis-Hastings on the real line
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Publication:356503
DOI10.1007/s13571-012-0040-5zbMath1273.65004arXiv1008.5227OpenAlexW2048648896MaRDI QIDQ356503
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
Markov chain Monte CarloMetropolis-Hastings algorithmgeometric ergodicityLangevin algorithmmultiplicative random walkrandom walk algorithmshare-price returnthick tailed density
Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)
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