Numerical integration using V-uniformly ergodic Markov chains

Journal of Applied Probability

Volumn 41, Issue 4, 2004, Pages 1104-1112

  Mathé, Peter ^a,b  

^a Weierstrass Inst Appl Anal S   (Germany)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Interpolation; Numerical integration; V uniformly ergodic Markov chain

Indexed keywords

EID: 14644417176     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1101840555     Document Type: Article

References (8)

1. BANACH, S. (1987). Theory of Linear Operations (North-Holland Math. Library 38). North-Holland, Amsterdam.
2. BERGH, J. AND LÖFSTRÖM, J. (1976). Interpolation Spaces. An Introduction (Grundlehren der Mathematischen Wissenschaften 223). Springer, Berlin.
3. JARNER, S. F. AND HANSEN, E. (2000). Geometric ergodicity of Metropolis algorithms. Stoch. Process. Appl. 85, 341-361.
4. KRENGEL, U. (1985). Ergodic Theorems (De Gruyter Stud, in Math. 6). De Gruyter, Berlin.
5. MATHÉ, P. (1999). Numerical integration using Markov chains. Monte Carlo Meth. Appl. 5, 325-343.
6. MEYN, S. P. AND TWEEDIE, R. L. (1993). Markov Chains and Stochastic Stability. Springer, London.
7. REVUZ, D. (1975). Markov Chains (North-Holland Math. Library 11). North-Holland, Amsterdam.
8. TIERNEY, L. (1998). A note on Metropolis-Hastings kernels for general state spaces. Ann. Appl. Prob. 8, 1-9.