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To pose the question let us start by recalling the following notions: Transition Probabilities. A transition probability matrix between two measurable spaces $(S,\mathcal{S})$ and $(V,\mathcal{V})$ ...

Target distribution is multimodal, 24 dimensions, continuous state space. For MCMC integration (MH sampler) I use a manually tuned proposal distribution. When I measure the convergence rate ...

We have a inhomogeneous continous $K$-State Markov chain $X(t)$ with transition intensity matrix $Q(t)$. Therefore its entries are: $$q_{ij}(t)= \lim_{\delta \to 0} \frac{1}{\delta} \mathbb{P}(X(t+\...