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A note on geometric ergodicity and floating-point roundoff error

We consider the extent to which Markov chain convergence properties are affected by the presence of computer floating-point roundoff 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.
Year of publication:
2001
Authors: Breyer, Laird ; Roberts, Gareth O. ; Rosenthal, Jeffrey S.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 53.2001, 2, p. 123-127
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005223415
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