A Proof of Convergence of the Markov Chain Simulation Method
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
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The Markov chain simulation method has been successfully used in many problems, including some that arise in Bayesian statistics. We give a self- contained proof of the convergence of this method in general state spaces under conditions that are easy to verify. We also provide a result giving a geometric rate of convergence. Successive substitution sampling, calculation of posterior distributions, ergodic theorem.
- Statistics and Probability