Markov chain Monte Carlo;
Peskun's theorem;
mixture kernels;
D O I:
暂无
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:
The Metropolis-Hastings algorithm is a method of constructing a reversible Markov transition kernel with a specified invariant distribution. This note describes necessary and sufficient conditions on the candidate generation kernel and the acceptance probability function for the resulting transition kernel and invariant distribution to satisfy the detailed balance conditions. A simple general formulation is used that covers a range of special cases treated separately in the literature. In addition, results on a useful partial ordering of finite state space reversible transition kernels are extended to general state spaces and used to compare the performance of two approaches to using mixtures in Metropolis-Hastings kernels.
机构:
Department of Statistics, University of Chicago, 5734 S. University Avenue, Chicago, 60637, ILDepartment of Statistics, University of Chicago, 5734 S. University Avenue, Chicago, 60637, IL
机构:
Univ Johannesburg, Sch Elect Engn, ZA-2000 Johannesburg, South AfricaUniv Johannesburg, Sch Elect Engn, ZA-2000 Johannesburg, South Africa
Mongwe, Wilson Tsakane
Mbuvha, Rendani
论文数: 0引用数: 0
h-index: 0
机构:
Univ Witwatersrand, Sch Stat & Actuarial Sci, ZA-2000 Johannesburg, South AfricaUniv Johannesburg, Sch Elect Engn, ZA-2000 Johannesburg, South Africa
Mbuvha, Rendani
Marwala, Tshilidzi
论文数: 0引用数: 0
h-index: 0
机构:
Univ Johannesburg, Sch Elect Engn, ZA-2000 Johannesburg, South AfricaUniv Johannesburg, Sch Elect Engn, ZA-2000 Johannesburg, South Africa