Statistical Science

A Geometric Interpretation of the Metropolis-Hastings Algorithm

Louis J. Billera and Persi Diaconis

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Abstract

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.

Article information

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

Dates
First available in Project Euclid: 5 March 2002

Permanent link to this document
http://projecteuclid.org/euclid.ss/1015346318

Digital Object Identifier
doi:10.1214/ss/1015346318

Mathematical Reviews number (MathSciNet)
MR1888448

Zentralblatt MATH identifier
02068935

Citation

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. http://projecteuclid.org/euclid.ss/1015346318.


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References

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