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Article Dans Une Revue Statistics and Probability Letters Année : 2011

A new proof of convergence of MCMC via the ergodic theorem

Résumé

A key result underlying the theory of MCMC is that any -irreducible Markov chain having a transition density with respect to and possessing a stationary distribution 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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Dates et versions

hal-00770343 , version 1 (05-01-2013)

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Søren Asmussen, Peter W. Glynn. A new proof of convergence of MCMC via the ergodic theorem. Statistics and Probability Letters, 2011, 81 (10), pp.1482. ⟨10.1016/j.spl.2011.05.004⟩. ⟨hal-00770343⟩

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