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
收藏
页码：489 / 504
页数：16
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