Journal article
A note on Metropolis-Hastings kernels for general state spaces
The Annals of applied probability, Vol.8(1), pp.1-9
02/01/1998
DOI: 10.1214/aoap/1027961031
Abstract
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.
Details
- Title: Subtitle
- A note on Metropolis-Hastings kernels for general state spaces
- Creators
- Luke Tierney
- Resource Type
- Journal article
- Publication Details
- The Annals of applied probability, Vol.8(1), pp.1-9
- DOI
- 10.1214/aoap/1027961031
- ISSN
- 1050-5164
- eISSN
- 2168-8737
- Language
- English
- Date published
- 02/01/1998
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257622702771
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