Geometric convergence of the Metropolis-Hastings simulation algorithm

Necessary and sufficient conditions for uniform geometric convergence in the relative supremum norm of the Metropolis-Hastings simulation algorithm with a general generating function are established. An explicit expression for the convergence rate is given.

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Year of publication:	1998
Authors:	Holden, Lars
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 39.1998, 4, p. 371-377
Publisher:	Elsevier
Subject:	Metropolis-Hastings algorithm Convergence

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005319304