Markov chains and de-initializing processes

被引：46

作者：

Roberts, GO ^{[1
]}

Rosenthal, JS

机构：

[1] Univ Lancaster, Dept Math & Stat, Fylde Coll, Lancaster LA1 4YF, England

[2] Univ Toronto, Toronto, ON, Canada

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2001年 / 28卷 / 03期

关键词：

convergence rate; de-initializing process; Markov chain; Markov chain Monte Carlo; stochastic process;

D O I：

10.1111/1467-9469.00250

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We define a notion of de-initializing Markov chains. We prove that to analyse convergence of Markov chains to stationarity, it suffices to analyse convergence of a deinitializing chain. Applications are given to Markov chain Monte Carlo algorithms and to convergence diagnostics.

引用

页码：489 / 504

页数：16

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