scientific article; zbMATH DE number 5520724

zbMATH Open1164.65004MaRDI QIDQ3608241FDOQ3608241

Authors: Søren Fiig Jarner, Gareth O. Roberts 

Publication date: 28 February 2009

Title of this publication is not available (Why is that?)

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zbMATH Keywords

central limit theoremGibbs samplernumerical examplesLangevin algorithmpolynomial ergodicityrandom-walk Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Cited In (27)

• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Convergence analysis of Markov chain Monte Carlo linear solvers using Ulam-von Neumann algorithm
• Which ergodic averages have finite asymptotic variance?
• Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II
• Quenched phantom distribution functions for Markov chains
• MCMC Algorithms for Posteriors on Matrix Spaces
• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Metropolis-Hastings algorithms with acceptance ratios of nearly 1
• On variational inference and maximum likelihood estimation with the \(\lambda\)-exponential family
• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
• Phantom distribution functions for some stationary sequences
• Convergence control methods for Markov chain Monte Carlo algorithms
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Irreversible samplers from jump and continuous Markov processes
• Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
• Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
• A note on the polynomial ergodicity of the one-dimensional Zig-Zag process
• Studying Convergence of Markov Chain Monte Carlo Algorithms Using Coupled Sample Paths
• Nonasymptotic bounds on the estimation error of MCMC algorithms
• Markov chain Monte Carlo estimation of quantiles
• Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
• Limit theorems for the zig-zag process

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