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Geometric convergence of the Metropolis-Hastings simulation algorithm

✍ Scribed by Lars Holden

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 275 KB
Volume: 39
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00096-0

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✦ Synopsis

Necessary and sufficient conditions for uniform geometric convergence in the relative supremum norm of the Metropolis-Hastings simulation algorithm with a general generating function are established. An explicit expression for the convergence rate is given. (~

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