Ergodicity of an Adaptive MCMC Sampler under a Probability Bound
Statistics Theory
2026-02-17 v2 Probability
Computation
Statistics Theory
Abstract
This paper provides sufficient conditions over the sequence of samples and parameters of an adaptive Markov Chain Monte Carlo (MCMC) algorithm to ensure ergodicity with respect to a target distribution that can have unbounded support. These conditions aim to make more easily usable the conditions of Containment and Diminishing Adaptation from Roberts and Rosenthal [2007] formulated over the transition kernels, without needing, as was done in other works, an artificial assumption of the compactness over both sample and parameter spaces. The paper shows that the condition of compactness can be relaxed to a more realistic bound in probability over the sequence of both samples and parameters.
Cite
@article{arxiv.2602.06568,
title = {Ergodicity of an Adaptive MCMC Sampler under a Probability Bound},
author = {Alexandre Chotard},
journal= {arXiv preprint arXiv:2602.06568},
year = {2026}
}