I'm trying to understand the Metropolis-Hastings algorithm and its theoretical background Markov Chain properties.
Is there something wrong with this diagram for the time-homogeneous, finite state Markov chains? (Not sure if it requires to be time-homogeneous and finite.)
Especially, I'm not sure that if a Markov chain is reversible it can be said it's ergodic or positive recurrent?
- A circle is a property of states
- A box is a property of Markov chains.
You might want to edit the diagram with this code using graphviz.
digraph {
# nodes
sAccesible [label=accessible]
sComunicate [label=communicate]
cIreducible [label=irreducible, shape=box]
sAperiodic [label=aperiodic]
sRecurrent [label="positive recurrent"]
sErgodic [label=ergodic]
cErgodic [label=ergodic, shape=box, fillcolor=gray, style=filled]
sDetailedBalance [label="detailed balance"]
cReversible [label=reversible, shape=box, fillcolor=gray, style=filled]
cStationaryDistribution [label="has stationary distribution", shape=box]
cUniquePositiveStationaryDistribution [label="has unique positive stationary distribution", shape=box, fillcolor=lightblue, style=filled]
and [label="+", shape=circle]
# edges
cIreducible -> sComunicate -> sAccesible
sErgodic -> sAperiodic
sErgodic -> sRecurrent
cErgodic -> sErgodic
cErgodic -> cIreducible
cReversible -> sDetailedBalance
cReversible -> cStationaryDistribution
cReversible -> cIreducible
cErgodic -> and [style=dashed]
cStationaryDistribution -> and [style=dashed]
and -> cUniquePositiveStationaryDistribution
}
