A new proof of convergence of MCMC via the ergodic theorem

DOI10.1016/j.spl.2011.05.004zbMath1232.65015OpenAlexW2057777714MaRDI QIDQ634566

Peter W. Glynn, Soren Asmussen

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.spl.2011.05.004

zbMATH Keywords

Markov chain Monte Carlo methodergodic theoremHarris recurrenceeta-irreducibility

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Stochastic simulation: Algorithms and analysis
• General Irreducible Markov Chains and Non-Negative Operators
• Probability
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