Discretization of Continuous Markov Chains and Markov Chain Monte Carlo Convergence Assessment

DOI10.2307/2669849MaRDI QIDQ4541166zbMATH OpenOpenAlexFDO

Authors Chantal Guihenneuc-Jouyaux, Christian P. Robert Robert

Publication date 30 July 2002

Full work available at URL https://doi.org/10.2307/2669849

zbMATH Keywords

divergenceMarkov chain Monte Carlo algorithmrenewal time

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Continuous-time Markov processes on discrete state spaces (60J27)

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(5)

• A Bayesian model and numerical algorithm for CBM availability maximization
• Computational advances for and from Bayesian analysis
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• A short history of Markov chain Monte Carlo: Subjective recollections from incomplete data
• Accelerating MCMC algorithms

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