Limit theorems for some adaptive MCMC algorithms with subgeometric kernels

DOI10.3150/09-BEJ199zbMATH Open1215.60046arXiv0807.2952OpenAlexW1995687931MaRDI QIDQ605038FDOQ605038

Authors: Gersende Fort, Yves F. Atchadé 

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper deals with the ergodicity and the existence of a strong law of large numbers for adaptive Markov Chain Monte Carlo. We show that a diminishing adaptation assumption together with a drift condition for positive recurrence is enough to imply ergodicity. Strengthening the drift condition to a polynomial drift condition yields a strong law of large numbers for possibly unbounded functions. These results broaden considerably the class of adaptive MCMC algorithms for which rigorous analysis is now possible. As an example, we give a detailed analysis of the Adaptive Metropolis Algorithm of Haario et al. (2001) when the target distribution is sub-exponential in the tails.

Full work available at URL: https://arxiv.org/abs/0807.2952

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zbMATH Keywords

Markov chainadaptive Markov chain Monte Carlosubgeometric ergodicity

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited In (30)

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• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• On the ergodicity properties of some adaptive MCMC algorithms

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