A Proof of Convergence of the Markov Chain Simulation Method
Krishna Balasundaram Athreya, Hani Doss, Jayaram Sethuraman · 1992
The Markov chain simulation method has been successfully used in many problems, including some that arise in Bayesian statistics. We give a self-contained proof of the convergence of this method in general state spaces under conditions that are easy to verify. Key words and phrases: Calculation of posterior distributions, ergodic theorem, successive substitution sampling.