On the geometric ergodicity of Metropolis-Hastings algorithms
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Publication:5429699
DOI10.1080/10485250601033214zbMath1131.65004MaRDI QIDQ5429699
François Perron, Yves F. Atchadé
Publication date: 3 December 2007
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485250601033214
global stability; Metropolis-Hastings algorithm; geometric ergodicity; Markov chain operator; Monte Carlo estimation; independent Metropolis-Hastings algorithm
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
60J27: Continuous-time Markov processes on discrete state spaces
60J35: Transition functions, generators and resolvents
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Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques, Multiplicative random walk Metropolis-Hastings on the real line
Cites Work
- Markov chains and stochastic stability
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- Markov chains for exploring posterior distributions. (With discussion)
- Rates of convergence of the Hastings and Metropolis algorithms
- Geometric L2 and L1 convergence are equivalent for reversible Markov chains
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Markov-chain monte carlo: Some practical implications of theoretical results