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An ergodicity result for adaptive Langevin algorithms
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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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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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: |
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Volume: | Vol.2009 | ||||
Number: | No.4 | ||||
Number of Pages: | 34 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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