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A History of the Metropolis–Hastings Algorithm

✍ Scribed by Hitchcock, David B

Book ID
118166475
Publisher
American Statistical Association
Year
2003
Tongue
English
Weight
130 KB
Volume
57
Category
Article
ISSN
0003-1305

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📜 SIMILAR VOLUMES

Geometric convergence of the Metropolis-
Geometric convergence of the Metropolis-Hastings simulation algorithm
✍ Lars Holden 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 275 KB

Necessary and sufficient conditions for uniform geometric convergence in the relative supremum norm of the Metropolis-Hastings simulation algorithm with a general generating function are established. An explicit expression for the convergence rate is given. (~

V-Subgeometric ergodicity for a Hastings
V-Subgeometric ergodicity for a Hastings–Metropolis algorithm
✍ Gersende Fort; Eric Moulines 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 122 KB

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.