Exact bound for the convergence of Metropolis chains

Stochastic Analysis and Applications

Volumn 18, Issue 1, 2000, Pages 63-71

  Cai, Haiyan ^a  

^a UNIVERSITY OF MISSOURI ST LOUIS   (United States)

Author keywords

Convergence rate; Markov chain Monte Carlo; Metropolis chain

Indexed keywords

EID: 0034346504     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362990008809654     Document Type: Article

References (4)

1. Jun S. Liu, Metropolized independent sampling with comparisons to rejection sampling and importance sampling, Statistics and Computing 6 (1996), 113-119.
2. Mengersen, K. L. and Tweedie R.L., Rates of convergence of the Hastings and Metropolis algorithms. Ann Stat., 24 (1996), no. 1, 101-121.
3. Metropolis, N., Rosenbluth, A., Rosenbluth, M., Teller, A. and E. Teller, Equations of state calculations by fast computing machines, Chemical Physics, 21 (1953), 1087-1091.
4. Roberts G.O. and Polson N.G., A note on the geometric convergence of the Gibbs sampler. J. Roy. Statist. Soc. Ser. B, 56 (1994), 377-384, 1994.