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February 1, 1998The Annals of Applied Probability356 citationsOpen Access

A note on Metropolis-Hastings kernels for general state spaces

LTLuke Tierney

Key Points

  • This note aims to clarify the conditions necessary for Metropolis-Hastings kernels to ensure detailed balance and proper invariant distributions.
  • Described necessary and sufficient conditions on candidate generation kernel.
  • Examined acceptance probability function related to transition kernels.
  • Extended results related to ordering of finite state space reversible transition kernels.
  • Identified conditions for achieving detailed balance across general state spaces.
  • Provided a general formulation that encompasses previously reported special cases.
  • Compared performance of two methods using mixtures in Metropolis-Hastings kernels.

Abstract

The Metropolis-Hastings algorithm is a method of constructing a reversible Markov transition kernel with a specified invariant distribution. This note describes necessary and sufficient conditions on the candidate generation kernel and the acceptance probability function for the resulting transition kernel and invariant distribution to satisfy the detailed balance conditions. A simple general formulation is used that covers a range of special cases treated separately in the literature. In addition, results on a useful partial ordering of finite state space reversible transition kernels are extended to general state spaces and used to compare the performance of two approaches to using mixtures in Metropolis-Hastings kernels.

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Cite This Study

Luke Tierney (1998) studied this question.

synapsesocial.com/papers/6a11dee726b419a984b4de1ahttps://doi.org/10.1214/aoap/1027961031
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