Marshall, Tristan and Roberts, Gareth O. (2009) An ergodicity result for adaptive Langevin algorithms. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.4).

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Abstract

We consider a class of adaptive MCMC algorithms using a Langevin-type
proposal density. We prove that these are algorithms are ergodic
when the target density has exponential tail behaviour. Unlike previous
results, our approach does not require bounding the drift function.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Monte Carlo method, Markov processes, Langevin equations
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Official Date:	March 2009
Dates:	Date Event March 2009 Published
Volume:	Vol.2009
Number:	No.4
Number of Pages:	34
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

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