Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
نویسندگان
چکیده
منابع مشابه
Variable Transformation to Obtain Geometric Ergodicity in the Random-walk Metropolis Algorithm
A random-walk Metropolis sampler is geometrically ergodic if its equilibrium density is super-exponentially light and satisfies a curvature condition (Jarner and Hansen, 2000). Many applications, including Bayesian analysis with conjugate priors of logistic and Poisson regression and of log-linear models for categorical data result in posterior distributions that are not super-exponentially lig...
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Abstract Under a compactness assumption, we show that a φ-irreducible and aperiodic MetropolisHastings chain is geometrically ergodic if and only if its rejection probability is bounded away from unity. In the particular case of the Independence Metropolis-Hastings algorithm, we obtain that the whole spectrum of the induced operator is contained in (and in many cases equal to) the essential ran...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2012
ISSN: 0090-5364
DOI: 10.1214/12-aos1048