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Hastings-Metropolis algorithms and reference measures

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  • Chen, Pei-de

Abstract

In this note, we discuss the possible existence and effect of different reference measures on the Hastings-Metropolis (H-M) algorithm. We prove that the standard H-M algorithm as a Markov chain does not depend on the choice of the reference measure, and we obtain a sufficient and necessary condition for the existence of a reference measure.

Suggested Citation

  • Chen, Pei-de, 1998. "Hastings-Metropolis algorithms and reference measures," Statistics & Probability Letters, Elsevier, vol. 38(4), pages 323-328, July.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:4:p:323-328
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    Keywords

    H-M algorithms Reference measure;

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