On the stability and ergodicity of adaptive scaling Metropolis algorithms
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- Jarner, Søren Fiig & Hansen, Ernst, 2000. "Geometric ergodicity of Metropolis algorithms," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 341-361, February.
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- Mbalawata, Isambi S. & Särkkä, Simo & Vihola, Matti & Haario, Heikki, 2015. "Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 101-115.
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KeywordsAdaptive Markov chain Monte Carlo; Law of large numbers; Metropolis algorithm; Stability; Stochastic approximation;
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