Advances and Applications in Statistics
Volume 21, Issue 1, Pages 1 - 54
(March 2011)
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ON THE CONTAINMENT CONDITION FOR ADAPTIVE MARKOV CHAIN MONTE CARLO ALGORITHMS
Yan Bai, Gareth O. Roberts and Jeffrey S. Rosenthal
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Abstract: This paper considers ergodicity properties of certain adaptive Markov chain Monte Carlo (MCMC) algorithms for multidimensional target distributions. It was previously shown in [23] that Diminishing Adaptation and Containment imply ergodicity of adaptive MCMC. We derive various sufficient conditions to ensure Containment. |
Keywords and phrases: Markov chain Monte Carlo, adaptive algorithms, ergodicity, diminishing adaptation, Containment. |
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