On the ergodicity of the adaptive Metropolis algorithm on unbounded domains

Annals of Applied Probability

Volumn 20, Issue 6, 2010, Pages 2178-2203

  Saksman, Eero ^a   Vihola, Matti ^b  

^a UNIVERSITY OF HELSINKI   (Finland)

^b UNIVERSITY OF JYVÄSKYLÄ   (Finland)

Author keywords

Adaptive Markov chain Monte Carlo; Convergence; Ergodicity; Metropolis algorithm; Stochastic approximation

Indexed keywords

EID: 78650484041     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/10-AAP682     Document Type: Article

References (16)

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