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Hastings-Metropolis algorithms and reference measures

✍ Scribed by Pei-de Chen

Book ID
104302826
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
315 KB
Volume
38
Category
Article
ISSN
0167-7152

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✦ Synopsis

In this note, we discuss the possible existence and effect of different reference measures on the Hastings-Metropolis (H-M) algorithm. We prove that the standard H-M algorithm as a Markov chain does not depend on the choice of the reference measure, and we obtain a sufficient and necessary condition for the existence of a reference measure.

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