Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152470 | Statistics & Probability Letters | 2011 | 4 Pages |
Abstract
A key result underlying the theory of MCMC is that any ηη-irreducible Markov chain having a transition density with respect to ηη and possessing a stationary distribution ππ is automatically positive Harris recurrent. This paper provides a short self-contained proof of this fact using the ergodic theorem in its standard form as the most advanced tool.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Søren Asmussen, Peter W. Glynn,