On the geometric ergodicity of Metropolis-Hastings algorithms
DOI10.1080/10485250601033214zbMATH Open1131.65004OpenAlexW1965943102MaRDI QIDQ5429699FDOQ5429699
Authors: Yves F. Atchadé, François Perron 
Publication date: 3 December 2007
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485250601033214
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Metropolis-Hastings algorithmglobal stabilitygeometric ergodicityMarkov chain operatorMonte Carlo estimationindependent Metropolis-Hastings algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)
Cites Work
- Markov chains for exploring posterior distributions. (With discussion)
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Markov chains and stochastic stability
- General state space Markov chains and MCMC algorithms
- On the Markov chain central limit theorem
- Rates of convergence of the Hastings and Metropolis algorithms
- Geometric L2 and L1 convergence are equivalent for reversible Markov chains
- Markov-chain monte carlo: Some practical implications of theoretical results
Cited In (28)
- The spectrum of the independent Metropolis-Hastings algorithm
- Geometric ergodicity of Metropolis algorithms
- Smoothness of Metropolis-Hastings algorithm and application to entropy estimation
- On a Metropolis-Hastings importance sampling estimator
- On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations
- Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques
- Geometric allocation approach for the transition kernel of a Markov chain
- Metropolis-Hastings transition kernel couplings
- \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
- Exact convergence analysis of the independent Metropolis-Hastings algorithms
- Convergence rate of multiple-try Metropolis independent sampler
- Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications
- Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalized linear mixed models
- A computable bound of the essential spectral radius of finite range metropolis-Hastings kernels
- Ergodicity of Markov chain Monte Carlo with reversible proposal
- On the Geometric Ergodicity of Metropolis-Hastings Algorithms for Lattice Gaussian Sampling
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Error Bounds for Dynamical Spectral Estimation
- A note on acceptance rate criteria for CLTS for Metropolis–Hastings algorithms
- Exact MCMC with differentially private moves. Exact MCMC with differentially private moves, revisiting the penalty algorithm in a data privacy framework
- Quantitative bounds of convergence for geometrically ergodic Markov chain in the Wasserstein distance with application to the Metropolis adjusted Langevin algorithm
- Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
- Multiplicative random walk Metropolis-Hastings on the real line
- Approximate verification of geometric ergodicity for multiple-step Metropolis transition kernels
- Approximate Bayesian computation by modelling summary statistics in a quasi-likelihood framework
- Title not available (Why is that?)
- Deterministic and stochastic damage detection via dynamic response analysis
- A geometric interpretation of the Metropolis-Hastings algorithm.
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