Geometric convergence of the Metropolis-Hastings simulation algorithm

DOI10.1016/S0167-7152(98)00096-0zbMath0914.60043OpenAlexW2093875919MaRDI QIDQ1273019

Lars Holden

Publication date: 20 June 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00096-0

zbMATH Keywords

convergenceMetropolis-Hastings algorithm

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Random number generation in numerical analysis (65C10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling ⋮ Mixing of MCMC algorithms ⋮ Markov-chain monte carlo: Some practical implications of theoretical results ⋮ Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal ⋮ Adaptive independent Metropolis-Hastings ⋮ Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.

Cites Work

• Markov chains and stochastic stability
• Rates of convergence of the Hastings and Metropolis algorithms
• Monte Carlo sampling methods using Markov chains and their applications
• Unnamed Item

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