The Spectrum of the Independent Metropolis–Hastings Algorithm

Jørund Gåsemyr ()
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Jørund Gåsemyr: University of Oslo

Journal of Theoretical Probability, 2006, vol. 19, issue 1, 152-165

Abstract: In this paper we perform a spectral analysis for the kernel operator associated with the transition kernel for the Metropolis–Hastings algorithm that uses a fixed, location independent proposal distribution. Our main result is to establish the spectrum of the kernel operator T in the continuous case, thereby generalizing the results obtained by Liu in (Statist. Comput. 6, 113–119 1996) for the finite case.

Keywords: Independent chain; Markov Chain Monte Carlo; Metropolized independent sampling (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10959-006-0009-2

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