Work

Geometric Ergodicity and Hybrid Markov Chains

Year: 1997

Type: article

Abstract: Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collection of chains commonly used in Markov chain Monte Carlo simulation algorithms, the so-called hybrid chains. We prove that under certain conditions, a hybrid chain will "inherit" the geometric ergodicity of its constituent parts.

Source: Electronic Communications in Probability

DOI: 10.1214/ecp.v2-981

Authors: Gareth Roberts, Jeffrey Rosenthal

Institutions: University of Cambridge, University of Toronto

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2095763317