The Annals of Applied Probability

Harris recurrence of Metropolis-within-Gibbs and trans-dimensional Markov chains

Gareth O. Roberts and Jeffrey S. Rosenthal

Full-text: Open access

Abstract

A ϕ-irreducible and aperiodic Markov chain with stationary probability distribution will converge to its stationary distribution from almost all starting points. The property of Harris recurrence allows us to replace “almost all” by “all,” which is potentially important when running Markov chain Monte Carlo algorithms. Full-dimensional Metropolis–Hastings algorithms are known to be Harris recurrent. In this paper, we consider conditions under which Metropolis-within-Gibbs and trans-dimensional Markov chains are or are not Harris recurrent. We present a simple but natural two-dimensional counter-example showing how Harris recurrence can fail, and also a variety of positive results which guarantee Harris recurrence. We also present some open problems. We close with a discussion of the practical implications for MCMC algorithms.

Article information

Source
Ann. Appl. Probab., Volume 16, Number 4 (2006), 2123-2139.

Dates
First available in Project Euclid: 17 January 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1169065219

Digital Object Identifier
doi:10.1214/105051606000000510

Mathematical Reviews number (MathSciNet)
MR2288716

Zentralblatt MATH identifier
1121.60076

Subjects
Primary: 60J05: Discrete-time Markov processes on general state spaces
Secondary: 65C05: Monte Carlo methods 60J22: Computational methods in Markov chains [See also 65C40] 62F15: Bayesian inference

Keywords
Harris recurrence Metropolis algorithm Markov chain Monte Carlo phi-irreducibility trans-dimensional Markov chains

Citation

Roberts, Gareth O.; Rosenthal, Jeffrey S. Harris recurrence of Metropolis-within-Gibbs and trans-dimensional Markov chains. Ann. Appl. Probab. 16 (2006), no. 4, 2123--2139. doi:10.1214/105051606000000510. https://projecteuclid.org/euclid.aoap/1169065219


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