ON THE CONVERGENCE OF THE METROPOLIS-HASTINGS MARKOV CHAINS


Цветков, Димитър (2018) ON THE CONVERGENCE OF THE METROPOLIS-HASTINGS MARKOV CHAINS Serdica Math. J. 43 (2017), (pp. 93−110) . ISSN 1310-6600


 In this paper we study Markov chains associated with the Metropolis-Hastings algorithm. We consider conditions under which the sequence of the successive densities of such a chain converges to the target density according to the total variation distance for any choice of the initial density. In particular we prove that the positiveness of the proposal density is enough for the chain to converge. The content of this work basically presents a stand alone proof that the reversibility along with the kernel positivity imply the convergence.
  Статия
 Markov chain, Metropolis-Hastings algorithm, total variation distance


Природни науки, математика и информатика Математика

Natural sciences, mathematics and informatics Mathematics

 Издадено
  20498
 Димитър Цветков

Научният архив поддържа инициативата за отворен достъп OAI 2.0 с начален адрес: http://da.uni-vt.bg/oai2/