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Harris Recurrence and MCMC: A Simplified Approach

by Søren Asmussen and Peter W. Glynn
Thiele Research Reports Number 6 (July 2010)

A key result underlying the theory of MCMC is that any $\eta$-irreducible Markov chain having a transition density with respect to $\eta$ and possessing a stationary distribution is automatically positive Harris recurrent. This paper provides a short self-contained proof of this fact.

Keywords: Markov chain Monte Carlo, Harris recurrence, $\eta$-irreducibility

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