A central limit theorem for adaptive and interacting Markov chains (Q2448700): Difference between revisions

The paper studies a general (non-Markovian) simulation framework covering both the adaptive and interacting Markov chains Monte Carlo (MCMC) algorithms. In Section 2, it contains the main theorem which establishes central limit theorems for adaptive and interacting MCMC algorithms. These results are applied in Section 3.2 to the 2-chain interacting tempering algorithm which is a simplified version of the equi-energy sampler.

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zbMATH Keywords

interacting Markov chain Monte Carlo algorithms

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cental limit theorems

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reviewed by

Oleg K. Zakusilo

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MaRDI profile type

MaRDI publication profile

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cites work

Convergence of the equi-energy sampler

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Non-linear Markov Chain Monte Carlo

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A Note on Convergence of the Equi-Energy Sampler

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On nonlinear Markov chain Monte Carlo

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On the ergodicity properties of some adaptive MCMC algorithms

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Limit theorems for some adaptive MCMC algorithms with subgeometric kernels

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Convergence of adaptive and interacting Markov chain Monte Carlo algorithms

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A cautionary tale on the efficiency of some adaptive Monte Carlo schemes

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Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo

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Renewal theory and computable convergence rates for geometrically erdgodic Markov chains

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A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods

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Sequentially interacting Markov chain Monte Carlo methods

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Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations

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Limit theorems for weighted samples with applications to sequential Monte Carlo methods

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Quantitative bounds on convergence of time-inhomogeneous Markov chains

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Polynomial ergodicity of Markov transition kernels.

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A simple variance inequality for \(U\)-statistics of a Markov chain with applications

0 references

A central limit theorem for adaptive and interacting Markov chains

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Adaptive proposal distribution for random walk Metropolis algorithm

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Q3911791

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Geometric ergodicity of Metropolis algorithms

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Equi-energy sampler with applications in statistical inference and statistical mechanics

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Stochastic Approximation in Monte Carlo Computation

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Rates of convergence of the Hastings and Metropolis algorithms

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Markov Chains and Stochastic Stability

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General state space Markov chains and MCMC algorithms

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Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms

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Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms

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Q3172404

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On the ergodicity of the adaptive Metropolis algorithm on unbounded domains

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Approximation Theorems of Mathematical Statistics

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A note on Metropolis-Hastings kernels for general state spaces

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Weak convergence and empirical processes. With applications to statistics

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Identifiers

zbMATH Open document ID

1303.60020

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DOI

10.3150/12-BEJ493

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2448700

@@ Property / reviewed by @@
+Oleg K. Zakusilo
@@ Property / reviewed by: Oleg K. Zakusilo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2574
@@ Property / arXiv ID: 1107.2574 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of the equi-energy sampler
@@ Property / cites work: Convergence of the equi-energy sampler / rank @@
+Normal rank
@@ Property / cites work @@
+Non-linear Markov Chain Monte Carlo
@@ Property / cites work: Non-linear Markov Chain Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on Convergence of the Equi-Energy Sampler
@@ Property / cites work: A Note on Convergence of the Equi-Energy Sampler / rank @@
+Normal rank
@@ Property / cites work @@
+On nonlinear Markov chain Monte Carlo
@@ Property / cites work: On nonlinear Markov chain Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+On the ergodicity properties of some adaptive MCMC algorithms
+Normal rank
@@ Property / cites work @@
+Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
+Normal rank
@@ Property / cites work @@
+Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
+Normal rank
@@ Property / cites work @@
+A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
+Normal rank
@@ Property / cites work @@
+Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
+Normal rank
@@ Property / cites work @@
+Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
+Normal rank
@@ Property / cites work @@
+A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Sequentially interacting Markov chain Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
+Normal rank
@@ Property / cites work @@
+Limit theorems for weighted samples with applications to sequential Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Quantitative bounds on convergence of time-inhomogeneous Markov chains
+Normal rank
@@ Property / cites work @@
+Polynomial ergodicity of Markov transition kernels.
+Normal rank
@@ Property / cites work @@
+A simple variance inequality for \(U\)-statistics of a Markov chain with applications
+Normal rank
@@ Property / cites work @@
+A central limit theorem for adaptive and interacting Markov chains
+Normal rank
@@ Property / cites work @@
+Adaptive proposal distribution for random walk Metropolis algorithm
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric ergodicity of Metropolis algorithms
@@ Property / cites work: Geometric ergodicity of Metropolis algorithms / rank @@
+Normal rank
@@ Property / cites work @@
+Equi-energy sampler with applications in statistical inference and statistical mechanics
+Normal rank
@@ Property / cites work @@
+Stochastic Approximation in Monte Carlo Computation
+Normal rank
@@ Property / cites work @@
+Rates of convergence of the Hastings and Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Markov Chains and Stochastic Stability
@@ Property / cites work: Markov Chains and Stochastic Stability / rank @@
+Normal rank
@@ Property / cites work @@
+General state space Markov chains and MCMC algorithms
+Normal rank
@@ Property / cites work @@
+Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
+Normal rank
@@ Property / cites work @@
+Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Q3172404
@@ Property / cites work: Q3172404 / rank @@
+Normal rank
@@ Property / cites work @@
+On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
+Normal rank
@@ Property / cites work @@
+Approximation Theorems of Mathematical Statistics
@@ Property / cites work: Approximation Theorems of Mathematical Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Metropolis-Hastings kernels for general state spaces
+Normal rank
@@ Property / cites work @@
+Weak convergence and empirical processes. With applications to statistics
+Normal rank
@@ Property / OpenAlex ID @@
+W2060485493
@@ Property / OpenAlex ID: W2060485493 / rank @@
+Normal rank