V-Subgeometric ergodicity for a Hastings-Metropolis algorithm

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.

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Year of publication:	2000
Authors:	Fort, Gersende ; Moulines, Eric
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 49.2000, 4, p. 401-410
Publisher:	Elsevier
Keywords:	Hastings-Metropolis algorithm V-ergodicity Drift conditions Subgeometrical rates

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074598