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The Spectrum of the Independent Metropolis–Hastings Algorithm

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In this paper we perform a spectral analysis for the kernel operator associated with the transition kernel for the Metropolis–Hastings algorithm that uses a fixed, location independent proposal distribution. Our main result is to establish the spectrum of the kernel operator T in the continuous case, thereby generalizing the results obtained by Liu in (Statist. Comput. 6, 113–119 1996) for the finite case.

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References

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  1. Department of Mathematics, University of Oslo, Box 1053, Blindern, N–0316, Oslo, Norway

    Jørund Gåsemyr

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  1. Jørund Gåsemyr
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Correspondence to Jørund Gåsemyr.

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Gåsemyr, J. The Spectrum of the Independent Metropolis–Hastings Algorithm. J Theor Probab 19, 152–165 (2006). https://doi.org/10.1007/s10959-006-0009-2

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  • DOI: https://doi.org/10.1007/s10959-006-0009-2

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