A note on geometric ergodicity and floating-point roundoff error

被引：16

作者：

Breyer, L

Roberts, GO

Rosenthal, JS

机构：

[1] Univ Lancaster, Fylde Coll, Dept Math & Stat, Lancaster LA1 4YF, England

[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 53卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

D O I：

10.1016/S0167-7152(01)00054-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the extent to which Markov chain convergence properties are affected by the presence of computer floating-point roundoff error. Both geometric ergodicity and polynomial ergodicity are considered. This paper extends previous work of Roberts et al. (J. Appl. Probab. 35 (1998) 1) to the case of proportional errors. (C) 2001 Elsevier Science B.V, All rights reserved.

引用

页码：123 / 127

页数：5