A new proof of convergence of MCMC via the ergodic theorem

DOI10.1016/J.SPL.2011.05.004MaRDI QIDQ634566zbMATH OpenOpenAlexFDO

Authors Peter W. Glynn, Søren 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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• Stochastic simulation: Algorithms and analysis

Cited in

(17)

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• Error bounds of MCMC for functions with unbounded stationary variance
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• Structured heterogeneity of network in evolutionary social dilemmas under assortative linking and learning
• Geometric ergodicity of the Bayesian Lasso
• Convergence analysis of the block Gibbs sampler for Bayesian probit linear mixed models with improper priors
• Improving the convergence properties of the data augmentation algorithm with an application to Bayesian mixture modeling
• Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
• A quasi-ergodic theorem for evanescent processes
• Harris recurrence of Metropolis-within-Gibbs and trans-dimensional Markov chains
• Dimension‐independent Markov chain Monte Carlo on the sphere
• Likelihood estimation of consumer preferences in choice-based conjoint analysis
• Trace class Markov chains for Bayesian inference with generalized double Pareto shrinkage priors
• Geometric ergodicity for Bayesian shrinkage models
• Consistent estimation of the spectrum of trace class data augmentation algorithms

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