Fourier transform MCMC, heavy tailed distributions and geometric ergodicity

31 Dec 2019 Belomestny Denis Iosipoi Leonid

Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions. However, application of MCMC methods to heavy tailed distributions and distributions with analytically intractable densities turns out to be rather problematic... (read more)

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  • COMPUTATION
  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS
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