Abstract
A well-known difficult problem regarding Metropolis-Hastings algorithms is to get sharp bounds on their convergence rates. Moreover, a fundamental but often overlooked problem in Markov chain theory is to study the convergence rates for different initializations. In this paper, we study the two issues mentioned above of the Independent Metropolis-Hastings (IMH) algorithms on both general and discrete state spaces. We derive the exact convergence rate and prove that the IMH algorithm’s different deterministic initializations have the same convergence rate. We get the exact convergence speed for IMH algorithms on general state spaces.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.