"Exact bound for the convergence of metropolis chains" by Haiyan Cai

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Exact bound for the convergence of metropolis chains

Stochastic Analysis and Applications (2000)

Haiyan Cai, University of Missouri-St. Louis

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Abstract

In this note, we present a calculation which gives us the exact bound for the convergence of Metropolis chains in a finite state space and therefore improves the existing results which are only for the upper bounds of such convergence (see the references below). Our result is based on an interesting observation on the transition probability of Metropolis chains

Disciplines

Mathematics and
Statistics and Probability

Publication Date

2000

DOI

10.1080/07362990008809654

Citation Information

Haiyan Cai. "Exact bound for the convergence of metropolis chains" Stochastic Analysis and Applications Vol. 18 Iss. 1 (2000) p. 63 - 71
Available at: http://works.bepress.com/haiyan-cai/25/