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 Electronic Communications in Probability > Vol. 2 (1997) > Paper 2 open journal systems 


Geometric Ergodicity and Hybrid Markov Chains

Gareth O. Roberts, University of Cambridge
Jeffrey S. Rosenthal, University of Toronto


Abstract
Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collection of chains commonly used in Markov chain Monte Carlo simulation algorithms, the so-called hybrid chains. We prove that under certain conditions, a hybrid chain will "inherit" the geometric ergodicity of its constituent parts.


Full text: PDF

Pages: 13-25

Published on: May 14, 1997
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Electronic Communications in Probability. ISSN: 1083-589X