首页 | 本学科首页   官方微博 | 高级检索  
     


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     mmlsi4"   class="  mathmlsrc"   onclick="  submitCitation('/science?_ob=MathURL&  _method=retrieve&  _eid=1-s2.0-S0167715211001751&  _mathId=si4.gif&  _pii=S0167715211001751&  _issn=01677152&  _acct=C000051805&  _version=1&  _userid=1154080&  md5=ad1654f2bc84a3d9347c49a24018c712')"   style="  cursor:pointer  "   alt="  Click to view the MathML source"   title="  Click to view the MathML source"  >  formulatext"   title="  click to view the MathML source"  >η-irreducibility
    本文献已被 ScienceDirect 等数据库收录!
    设为首页 | 免责声明 | 关于勤云 | 加入收藏

    Copyright©北京勤云科技发展有限公司  京ICP备09084417号