Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

DOI10.1016/j.matcom.2020.10.005OpenAlexW3091949920MaRDI QIDQ1998313

Leonid Iosipoi, Denis Belomestny

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.00698

zbMATH Keywords

numerical integrationMarkov chain Monte Carloheavy-tailed distributions

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx) Statistical sampling theory and related topics (62Dxx)

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