The spectrum of the independent Metropolis-Hastings algorithm

Journal of Theoretical Probability

Volumn 19, Issue 1, 2006, Pages 152-165

  Gåsemyr, Jørund ^a  

^a UNIVERSITY OF OSLO   (Norway)

Author keywords

Independent chain; Markov Chain Monte Carlo; Metropolized independent sampling

Indexed keywords

EID: 33747841843     PISSN: 08949840     EISSN: 15729230     Source Type: Journal    
DOI: 10.1007/s10959-006-0009-2     Document Type: Article

References (8)

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2. Hauge, R. (2002). On convergence of independent Metropolis-Hastings. Norwegian Computing Center, P. O. Box 114 Blindern, N-0314 Oslo, Norway.
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4. Hastings, W. K. (1970). Monte Carlo sampling methods using Markov chains and their applications. Biometrica 57, 97-109.
5. Liu, J. S. (1996). Metropolized independent sampling with comparison to rejection sampling and importance sampling. Statist. Comput. 6, 113-119.
6. Metropolis, M., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A., and Teller, E. (1953). Equation of state calculations by fast computing machines. J. Chem. Phys. 21, 1087-1092.
7. Smith, R. L., and Tierney, L. (1996). Exact transition probabilities for the independence Metropolis sampler. Technical report, Department of Statistics, University of North Carolina, Chapel Hill, N.C. 27599-3260, USA.
8. Tierney, L. (1994). Markov chains for exploring posterior distributions. Ann. Statistics 22, 1701-1762.