Hastings-Metropolis algorithm on Markov chains for small-probability estimation
نویسندگان
چکیده
منابع مشابه
On the convergence of the Metropolis-Hastings Markov chains
In this paper we consider Metropolis-Hastings Markov chains with absolutely continuous with respect to Lebesgue measure target and proposal distributions. We show that under some very general conditions the sequence of the powers of the conjugate transition operator has a strong limit in a properly defined Hilbert space described for example in Stroock [17]. Then we propose conditions under whi...
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ژورنال
عنوان ژورنال: ESAIM: Proceedings and Surveys
سال: 2015
ISSN: 2267-3059
DOI: 10.1051/proc/201448013