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- Title
COUPLING AND ERGODICITY OF ADAPTIVE MARKOV CHAIN MONTE CARLO ALGORITHMS.
- Authors
Roberts, Gareth O.; Rosenthal, Jeffrey S.
- Abstract
We consider basic ergodicity properties of adaptive Markov chain Monte Carlo algorithms under minimal assumptions, using coupling constructions. We prove convergence in distribution and a weak law of large numbers. We also give counterexamples, to demonstrate that the assumptions we make are not redundant.
- Subjects
MONTE Carlo method; MARKOV processes; ALGORITHMS; STOCHASTIC convergence; PROBABILITY theory; LAW of large numbers; MATHEMATICAL statistics
- Publication
Journal of Applied Probability, 2007, Vol 44, Issue 2, p458
- ISSN
0021-9002
- Publication type
Article
- DOI
10.1239/jap/1183667414