Geometric ergodicity of Metropolis algorithms

Søren Fiig Jarner and Ernst Hansen

Stochastic Processes and their Applications, 2000, vol. 85, issue 2, 341-361

Abstract: In this paper we derive conditions for geometric ergodicity of the random-walk-based Metropolis algorithm on . We show that at least exponentially light tails of the target density is a necessity. This extends the one-dimensional result of Mengersen and Tweedie (1996, Ann. Statist. 24, 101-121). For super-exponential target densities we characterize the geometrically ergodic algorithms and we derive a practical sufficient condition which is stable under addition and multiplication. This condition is especially satisfied for the class of densities considered in Roberts and Tweedie (1996, Biometrika 83, 95-110).

Keywords: Monte; carls; Metropolis; algorithm; Geometric; ergodicity; Super-exponential; densities (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (24)

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