Special Session 79: 

Reversible proposal MCMC with heavy-tailed target distributions

Kengo Kamatani
Osaka University
Japan
Co-Author(s):    
Abstract:
In this talk, we will discuss Markov chain Monte Carlo methods for heavy-tailed target probability distributions, based on a reversible proposal transition kernel. We will study the dimensionality effect using the high-dimensional asymptotic analysis of Roberts, Gelman, and Gilks. We also study ergodic properties for heavy-tailed target distributions.