On the computational complexity of MCMC-based estimators in large samples (Q2388988)
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English | On the computational complexity of MCMC-based estimators in large samples |
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On the computational complexity of MCMC-based estimators in large samples (English)
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22 July 2009
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The authors study the implications of the statistical large sample theory for computational complexity of Bayesian and quasi-Bayesian estimation carried our using a canonical Metropolis random walk. Their analysis permits the parameter dimension of the problem to grow to infinity and allows the underlying log-likelihood or extremum criterion function to be discontinuous and/or nonconcave. The polynomial complexity is established by exploiting a CLT framework which provides the structural restriction on the problem, namely, that the posterior or quasi-posterior density approaches a normal density in large samples. The interest is focused on (general) Metropolis random walk. A second task of interest is computing a high dimensional integral of a bounded real valued function. The applications to exponential families, curved exponential families and Z-estimation of increasing dimension concludes the paper.
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Markov chain Monte Carlo (MCMC) method
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computational complexity
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Bayesian and quasi-Bayesian inference
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increasing dimension
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Monte-Carlo integration
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Metropolis random walk
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