The data augmentation (DA) algorithm is a simple and powerful tool in statistical computing. In this note basic information theory is used to prove a nontrivial convergence theorem for the DA algorithm.
@article{arxiv.0811.0174,
title = {A Bit of Information Theory, and the Data Augmentation Algorithm Converges},
author = {Yaming Yu},
journal= {arXiv preprint arXiv:0811.0174},
year = {2009}
}