A note on Metropolis-Hastings kernels for general state spaces

Authors
Citation
Tierney, Luke, A note on Metropolis-Hastings kernels for general state spaces, Annals of applied probability , 8(1), 1998, pp. 1-9
ISSN journal
10505164
Volume
8
Issue
1
Year of publication
1998
Pages
1 - 9
Database
ACNP
SICI code
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.