Markov Chains and De-initializing Processes |
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| Authors: | Gareth O. Roberts,& Jeffrey S. Rosenthal |
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| Affiliation: | Lancaster University,;University of Toronto |
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| Abstract: | ![]()
We define a notion of de-initializing Markov chains. We prove that to analyse convergence of Markov chains to stationarity, it suffices to analyse convergence of a de-initializing chain. Applications are given to Markov chain Monte Carlo algorithms and to convergence diagnostics. |
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| Keywords: | convergence rate de-initializing process Markov chain Markov chain Monte Carlo stochastic process |
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