Markov Chains and De‐initializing Processes

Gareth O. Roberts and Jeffrey S. Rosenthal

Scandinavian Journal of Statistics, 2001, vol. 28, issue 3, 489-504

Abstract: We define a notion of de‐initializing Markov chains. We prove that to analyse convergence of Markov chains to stationarity, it suffices to analyse convergence of a de‐initializing chain. Applications are given to Markov chain Monte Carlo algorithms and to convergence diagnostics.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:28:y:2001:i:3:p:489-504

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