A new proof of convergence of MCMC via the ergodic theorem

Søren Asmussen and Peter W. Glynn

Statistics & Probability Letters, 2011, vol. 81, issue 10, 1482-1485

Abstract: A key result underlying the theory of MCMC is that any [eta]-irreducible Markov chain having a transition density with respect to [eta] and possessing a stationary distribution [pi] 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; [eta]-irreducibility (search for similar items in EconPapers)
Date: 2011
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715211001751
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:81:y:2011:i:10:p:1482-1485

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().