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:
KTH Royal Inst Technol, Dept Math, S-10044 Stockholm, SwedenKTH Royal Inst Technol, Dept Math, S-10044 Stockholm, Sweden
Milinanni, Federica
Nyquist, Pierre
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h-index: 0
机构:
Chalmers Univ Technol, Dept Math Sci, S-41296 Gothenburg, Sweden
Univ Gothenburg, Dept Math Sci, S-41296 Gothenburg, SwedenKTH Royal Inst Technol, Dept Math, S-10044 Stockholm, Sweden