| Título: | Geometric Ergodicity and Hybrid Markov Chains |
| Autores: |
Roberts, Gareth O.; University of Cambridge Rosenthal, Jeffrey S.; University of Toronto |
| Fecha: | 1997-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Markov chain Monte Carlo, hybrid Monte Carlo, geometric ergodicity, reversibility, spectral gap. 60J25 |
| Descripción: | 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. |
| Idioma: | No aplica |
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