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

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Résumé

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.

langue originale	Anglais
Pages (de - à)	401-410
Nombre de pages	10
journal	Statistics and Probability Letters
Volume	49
Numéro de publication	4
Les DOIs	https://doi.org/10.1016/S0167-7152(00)00074-2
état	Publié - 1 oct. 2000

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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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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

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

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JO - Statistics and Probability Letters

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V -Subgeometric ergodicity for a Hastings-Metropolis algorithm

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