Statistical Science

A Geometric Interpretation of the Metropolis-Hastings Algorithm

Louis J. Billera and Persi Diaconis

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The Metropolis–Hastings algorithm transforms a given stochastic matrix into a reversible stochastic matrix with a prescribed stationary distribution. We show that this transformation gives the minimum distance solution in an $L^1$ metric.

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Statist. Sci. Volume 16, Number 4 (2001), 335-339.

First available in Project Euclid: 5 March 2002

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Billera, Louis J.; Diaconis, Persi. A Geometric Interpretation of the Metropolis-Hastings Algorithm. Statist. Sci. 16 (2001), no. 4, 335--339. doi:10.1214/ss/1015346318.

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