On rates of convergence of stochastic relaxation for Gaussian and non-Gaussian distributions

Yali Amit

Journal of Multivariate Analysis, 1991, vol. 38, issue 1, 82-99

Abstract: We obtain rates of convergence of stochastic relaxation (heat bath algorithm) for continuous densities which have the form of bounded perturbations of Gaussian densities. The rates are calculated in the spaces of square integrable functions with respect to these desities in which the operator generated by the stochastic relaxation process has the form of a product of projections.

Keywords: Monte; Carlo; stochastic; relaxation; convergence; rates; angles; between; subspaces; Weiner-Ito; decomposition (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(91)90033-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:38:y:1991:i:1:p:82-99

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().