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On Geometric Ergodicity of Skewed - SVCHARME models
Markov switching geometric ergodicity irreducibility mixture models asymmetric stochastic volatility
2012/11/23
Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class o...
Geometric ergodicity for families of homogeneous Markov chains
Homogeneous Markov chain Geometric ergodicity Couplingrenewal processes Lyapunov function Renewal theory
2010/3/11
In this paper we find nonasymptotic exponential upper bounds for
the deviation in the ergodic theorem for families of homogeneous Markov
processes. We find some sufficient conditions for geometric e...
Ergodicity and weak mixing of semistable processes
Ergodicity weak mixing semistable processes
2009/9/23
We prove that ergodicity and weak mixing coincide for
the class of stationary symmetric semistable processes and give several
characterizations of ergodic semistable processes.
Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collec...
Geometric Ergodicity and Perfect Simulation
CFTP domCFTP geometric ergodicity perfect simulation uniform ergodicity
2009/4/28
This note extends the work of Foss and Tweedie (1998), who showed that availability of the classic Coupling from the Past (CFTP) algorithm of Propp and Wilson (1996) is essentially equivalent to unifo...
Ergodicity of PCA: Equivalence between Spatial and Temporal Mixing Conditions
probabilistic Cellular Automata Interacting Particle Systems Ergodicity Gibbs measure
2009/4/28
For a general attractive Probabilistic Cellular Automata on SZ^d, we prove that the (time-) convergence towards equilibrium of this Markovian parallel dynamics, exponentially fast in the uniform norm,...
On the Stability and Ergodicity of an Adaptive Scaling Metropolis Algorithm
Adaptive Markov chain Monte Carlo ergodicity Metropolis algorithm stability stochastic approximation
2010/3/19
This paper considers the stability and ergodicity of an adaptive random
walk Metropolis algorithm. The algorithm adjusts the scale of the symmetric
proposal distribution continuously, based on the o...
Let P be a Markov tranition kernel on a state space X equipped with a countably
generated σ-field X. For a control function f : X → [1,∞), the f-total
variation or f-norm of a signed measure μ on X ...