𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Density Estimation for the Metropolis–Hastings Algorithm

✍ Scribed by M. Sköld; G. O. Roberts


Book ID
108536245
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
346 KB
Volume
30
Category
Article
ISSN
0303-6898

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


V-Subgeometric ergodicity for a Hastings
✍ 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.

Geometric convergence of the Metropolis-
✍ 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. (~