Hastings-Metropolis algorithms and reference measures

Pei-de Chen

Statistics & Probability Letters, 1998, vol. 38, issue 4, 323-328

Abstract: In this note, we discuss the possible existence and effect of different reference measures on the Hastings-Metropolis (H-M) algorithm. We prove that the standard H-M algorithm as a Markov chain does not depend on the choice of the reference measure, and we obtain a sufficient and necessary condition for the existence of a reference measure.

Keywords: H-M; algorithms; Reference; measure (search for similar items in EconPapers)
Date: 1998
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