V -Subgeometric ergodicity for a Hastings-Metropolis algorithm

Gersende Fort; Eric Moulines

doi:10.1016/S0167-7152(00)00074-2

V -Subgeometric ergodicity for a Hastings-Metropolis algorithm

Research output: Contribution to journal › Article › peer-review

Abstract

We study the symmetric random-walk Hastings-Metropolis algorithm in situations where the density is not log-concave in the tails. We show that, under mild technical conditions this algorithm is V-ergodic at a subgeometrical rate.

Original language	English
Pages (from-to)	401-410
Number of pages	10
Journal	Statistics and Probability Letters
Volume	49
Issue number	4
DOIs	https://doi.org/10.1016/S0167-7152(00)00074-2
Publication status	Published - 1 Oct 2000

Keywords

Drift conditions
Hastings-Metropolis algorithm* V -ergodicity
Subgeometrical rates

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10.1016/S0167-7152(00)00074-2

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title = "V -Subgeometric ergodicity for a Hastings-Metropolis algorithm",

abstract = "We study the symmetric random-walk Hastings-Metropolis algorithm in situations where the density is not log-concave in the tails. We show that, under mild technical conditions this algorithm is V-ergodic at a subgeometrical rate.",

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author = "Gersende Fort and Eric Moulines",

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AU - Moulines, Eric

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AB - We study the symmetric random-walk Hastings-Metropolis algorithm in situations where the density is not log-concave in the tails. We show that, under mild technical conditions this algorithm is V-ergodic at a subgeometrical rate.

KW - Drift conditions

KW - Hastings-Metropolis algorithm V -ergodicity

KW - Subgeometrical rates

UR - https://www.scopus.com/pages/publications/0000580574

U2 - 10.1016/S0167-7152(00)00074-2

DO - 10.1016/S0167-7152(00)00074-2

M3 - Article

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VL - 49

SP - 401

EP - 410

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 4

ER -

V -Subgeometric ergodicity for a Hastings-Metropolis algorithm

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Keywords

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