Geometric convergence of the Metropolis-Hastings simulation algorithm

Lars Holden

Statistics & Probability Letters, 1998, vol. 39, issue 4, 371-377

Abstract: Necessary and sufficient conditions for uniform geometric convergence in the relative supremum norm of the Metropolis-Hastings simulation algorithm with a general generating function are established. An explicit expression for the convergence rate is given.

Keywords: Metropolis-Hastings; algorithm; Convergence (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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