A new proof of convergence of MCMC via the ergodic theorem

A key result underlying the theory of MCMC is that any [eta]-irreducible Markov chain having a transition density with respect to [eta] and possessing a stationary distribution [pi] is automatically positive Harris recurrent. This paper provides a short self-contained proof of this fact using the ergodic theorem in its standard form as the most advanced tool.

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Year of publication:	2011
Authors:	Asmussen, Søren ; Glynn, Peter W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 10, p. 1482-1485
Publisher:	Elsevier
Keywords:	Markov chain Monte Carlo Harris recurrence [eta]-irreducibility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143245