We describe the ergodic properties of some Metropolis–Hastings algorithms for heavy-tailed target distributions. The results of these algorithms are usually analyzed under a subgeometric ergodic ...

In Jourdain et al. (Optimal scaling for the transient phase of the random walk Metropolis algorithm: The mean-field limit (2012) Preprint), we generalize this result when the initial distribution is ...

The Metropolis algorithm, which Dr. Rosenbluth programmed, is the basis of what today are called Markov Chain Monte Carlo methods, a mathematics of probability and statistics that provide ...