Distribution

Mcmc convergence

Mcmc convergence
  1. What does convergence mean in MCMC?
  2. Does MCMC always converge?

What does convergence mean in MCMC?

By “converge”, we mean to say “converge in distribution”, with respect to the target distribution that is implied by the detailed balance equation.

Does MCMC always converge?

Under certain conditions, MCMC algorithms will draw a sample from the target posterior distribution after it has converged to equilibrium. However, since in practice, any sample is finite, there is no guarantee about whether its converged, or is close enough to the posterior distribution.

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