Accession Number:

ADA255456

Title:

A Proof of Convergence of the Markov Chain Simulation Method

Descriptive Note:

Technical rept.

Corporate Author:

FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS

Report Date:

1992-07-01

Pagination or Media Count:

32.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE