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.
Origine : Fichiers produits par l'(les) auteur(s)
Loading...