The purpose of this paper is to introduce a new Markov chain Monte Carlo method and to express its effectiveness by simulation and high-dimensional asymptotic theory. The key fact is that our algorithm has a reversible proposal kernel, which is designed to have a heavy-tailed invariant probability distribution. A high-dimensional asymptotic theory is studied for a class of heavy-tailed target probability distributions. When the number of dimensions of the state space passes to infinity, we will show that our algorithm has a much higher convergence rate than the pre-conditioned Crank–Nicolson (pCN) algorithm and the random-walk Metropolis algorithm.
"Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution." Bernoulli 24 (4B) 3711 - 3750, November 2018. https://doi.org/10.3150/17-BEJ976