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Harris Recurrence and MCMC: A Simplified Approach

Publikation: Working paperForskning

Dokumenter

  • T.N. Thiele Centre
  • Institut for Matematiske Fag
A key result underlying the theory of MCMC is that any $\eta$-irreducible Markov chain having a transition density with respect to $\eta$ and possessing a stationary distribution is automatically positive Harris recurrent. This paper provides a short self-contained proof of this fact.
OriginalsprogEngelsk
UdgivelsesstedÅrhus
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider7
StatusUdgivet - 6 jul. 2010

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