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. (~
Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
โ Scribed by G.O. Roberts; A.F.M. Smith
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 639 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0304-4149
No coin nor oath required. For personal study only.
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