A note on geometric ergodicity and floating-point roundoff error

Laird Breyer, Gareth O. Roberts and Jeffrey S. Rosenthal

Statistics & Probability Letters, 2001, vol. 53, issue 2, 123-127

Abstract: We consider the extent to which Markov chain convergence properties are affected by the presence of computer floating-point roundoff error. Both geometric ergodicity and polynomial ergodicity are considered. This paper extends previous work of Roberts et al. (J. Appl. Probab. 35 (1998) 1) to the case of proportional errors.

Date: 2001
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