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A new proof of convergence of MCMC via the ergodic theorem
Authors:  ren Asmussen,Peter W. Glynn
Affiliation:
  • a Department of Mathematical Sciences, Aarhus University, Ny Munkegade, DK-8000 Aarhus C, Denmark
  • b Department of Management Science and Engineering, Stanford University, Stanford, CA 94305-4026, USA
  • 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.
    Keywords:Markov chain Monte Carlo   Harris recurrence   η-irreducibility
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