Geometric ergodicity of Rao and Teh's algorithm for homogeneous Markov jump processes

DOI10.1016/j.spl.2016.02.002zbMath1345.60079arXiv1512.00736OpenAlexW2281500142WikidataQ96748968 ScholiaQ96748968MaRDI QIDQ274146

Błażej Miasojedow, Wojciech Niemiro

Publication date: 22 April 2016

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

Full work available at URL: https://arxiv.org/abs/1512.00736

zbMATH Keywords

hidden Markov modelsMarkov jump processesgeometric ergodicityMarkov chain Monte Carlo algorithmdrift condition

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

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• General state space Markov chains and MCMC algorithms
• Bayesian inference for Markov jump processes with informative observations
• An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models

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