Ergodicity of Combocontinuous Adaptive MCMC Algorithms

Jeffrey S. Rosenthal () and Jinyoung Yang ()
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Jeffrey S. Rosenthal: University of Toronto
Jinyoung Yang: University of Toronto

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 2, 535-551

Abstract: Abstract This paper proves convergence to stationarity of certain adaptive MCMC algorithms, under certain assumptions including easily-verifiable upper and lower bounds on the transition densities and a continuous target density. In particular, the transition and proposal densities are not required to be continuous, thus improving on the previous ergodicity results of Craiu et al. (Ann Appl Probab 25(6):3592–3623, 2015).

Keywords: Markov chain Monte Carlo; Adaptive MCMC; Ergodicity; Dini’s theorem; Piecewise continuous; Combocontinuous; 60J22; 60J05; 62M05 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11009-017-9574-3

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