Can the adaptive Metropolis algorithm collapse without the covariance lower bound?

DOI10.1214/EJP.v16-840zbMath1226.65007arXiv0911.0522OpenAlexW2134597186WikidataQ109746496 ScholiaQ109746496MaRDI QIDQ638374

Matti Vihola

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.0522

zbMATH Keywords

eigenvaluescovariance matrixadaptive Metropolis algorithmsymmetric random-walk Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)

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