On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
type: Item
instance of: scholarly article
title: On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
zbMATH Open document ID: 1209.65004
DOI: 10.1214/10-AAP682
author: Eero Saksman
author: Matti Vihola
published in: The Annals of Applied Probability
publication date: 2010-12-27T00:00:00Z
full work available at URL: https://arxiv.org/abs/0806.2933
review text: The authors describe sufficient conditions to ensure the correct ergodicity of the adaptive Metropolis algorithm for target distributions with a noncompact support; see \textit{H.~Haario}, \textit{E.~Saksman}, and \textit{J.~Tamminen} [Bernoulli 7, No.~2, 223--242 (2001; Zbl 0989.65004)]; see also \textit{C.~Andrieu} and \textit{É.~Moulines} [Ann. Appl. Probab. 16, No.~3, 1462--1505 (2006; Zbl 1114.65001)]. The work is essentially self-contained, and assumes little background knowledge.
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 93E15
Mathematics Subject Classification ID: 93E35
Mathematics Subject Classification ID: 60J22
zbMATH DE Number: 5829438
zbMATH Keywords: adaptive Markov chain Monte Carlo method
zbMATH Keywords: convergence
zbMATH Keywords: ergodicity
zbMATH Keywords: Metropolis algorithm
zbMATH Keywords: stochastic approximation
Wikidata QID: Q109553792
MaRDI profile type: Publication
arXiv ID: 0806.2933
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OpenAlex ID: W2152283828
description: scientific article