Rates of convergence for everywhere-positive Markov chains

J. R. Baxter and Jeffrey S. Rosenthal

Statistics & Probability Letters, 1995, vol. 22, issue 4, 333-338

Abstract: We generalize and simplify a result of Schervish and Carlin (1992) concerning the convergence of Markov chains to their stationary distributions. We prove geometric convergence for any Markov chain whose transition operator is compact and has everywhere-positive density functions (with respect to some reference measure). We also provide, without requiring compactness, a quantitative estimate of the convergence rate, given in terms of the stationary distribution.

Keywords: Compact; operator; Hilbert-Schmidt; condition; Gibbs; sampler; Markov; chain; Monte; Carlo; Geometric; convergence; Stationary; distribution (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (13)

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