✦ LIBER ✦

A note on geometric ergodicity and floating-point roundoff error

✍ Scribed by Laird Breyer; Gareth O. Roberts; Jeffrey S. Rosenthal

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 86 KB
Volume: 53
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(01)00054-2

No coin nor oath required. For personal study only.

✦ Synopsis

We consider the extent to which Markov chain convergence properties are a ected by the presence of computer oating-point roundo error. Both geometric ergodicity and polynomial ergodicity are considered. This paper extends previous work of Roberts et al. (J. Appl. Probab. 35 (1998) 1) to the case of proportional errors.