Marshall, Tristan and Roberts, Gareth O. (2009) An ergodicity result for adaptive Langevin algorithms. Working Paper. University of Warwick. Centre for Research in Statistical Methodology, Coventry.

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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
Date:	March 2009
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Status:	Not Peer Reviewed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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URI:	http://wrap.warwick.ac.uk/id/eprint/35196

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