A new proof of convergence of MCMC via the ergodic theorem |
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Authors: | Sø ren Asmussen,Peter W. Glynn |
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Affiliation: | a Department of Mathematical Sciences, Aarhus University, Ny Munkegade, DK-8000 Aarhus C, Denmarkb Department of Management Science and Engineering, Stanford University, Stanford, CA 94305-4026, USA |
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Abstract: | A key result underlying the theory of MCMC is that any η-irreducible Markov chain having a transition density with respect to η and possessing a stationary distribution π is automatically positive Harris recurrent. This paper provides a short self-contained proof of this fact using the ergodic theorem in its standard form as the most advanced tool. |
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Keywords: | Markov chain Monte Carlo Harris recurrence η-irreducibility |
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