Exact bound for the convergence of metropolis chains (Q4946979)
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scientific article; zbMATH DE number 1423272
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| English | Exact bound for the convergence of metropolis chains |
scientific article; zbMATH DE number 1423272 |
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Exact bound for the convergence of metropolis chains (English)
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15 January 2002
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Markov chain
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Metropolis chain
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convergence rate
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Monte Carlo method
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0.8386077284812927
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0.8320874571800232
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0.8138248920440674
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0.8098477125167847
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This paper presents the exact bound for the rate of convergence of Metropolis chains in a finite state space which improves the previous results about the rates of convergence of Metropolis algorithm due to \textit{K. L. Mengersen} and \textit{R. L. Tweedie} [Ann. Stat. 24, No. 1, 101-121 (1996; Zbl 0854.60065)] where only the upper bound of such convergence is obtained. The main result is proved by application of the properties of the transition probabilities and eigenvalues of Metropolis chains.
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