Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

Mathematics and Computers in Simulation. 2021. No. 181. P. 351–363.

Belomestny D., Iosipoi L.

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. In this paper, we propose a novel approach towards the use of MCMC algorithms for distributions with analytically known Fourier transforms and, in particular, heavy-tailed distributions. The main idea of the proposed approach is to use MCMC methods in Fourier domain to sample from a density proportional to the absolute value of the underlying characteristic function. A subsequent application of the Parseval’s formula leads to an efficient algorithm for the computation of integrals with respect to the underlying density. We show that the resulting Markov chain in Fourier domain may be geometrically ergodic even in the case of heavy-tailed original distributions. We illustrate our approach by several numerical examples including multivariate elliptically contoured stable distributions.

Keywords: numerical integration, Markov Chain Monte Carlo, Heavy-tailed distributions

Publication based on the results of: Uncertainty quantification in machine learning algorithms (2021)