On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
This paper describes sufficient conditions to ensure the correct ergodicity of the Adaptive Metropolis (AM) algorithm of Haario, Saksman and Tamminen [Bernoulli 7 (2001) 223-242] for target distributions with a noncompact support. The conditions ensuring a strong law of large numbers require that th...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2010
|