Establishing some order amongst exact approximations of MCMCs
From MaRDI portal
Publication:350683
DOI10.1214/15-AAP1158zbMath1351.60097arXiv1404.6909OpenAlexW2188679690WikidataQ109746489 ScholiaQ109746489MaRDI QIDQ350683
Christophe Andrieu, Matti Vihola
Publication date: 9 December 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.6909
Computational methods in Markov chains (60J22) Inequalities; stochastic orderings (60E15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)
Related Items
Which ergodic averages have finite asymptotic variance? ⋮ The use of a single pseudo-sample in approximate Bayesian computation ⋮ Twisting the alive particle filter ⋮ Modelling and computation using NCoRM mixtures for density regression ⋮ On the theoretical properties of the exchange algorithm ⋮ The node-wise pseudo-marginal method: model selection with spatial dependence on latent graphs ⋮ Optimal scaling for the pseudo-marginal random walk Metropolis: insensitivity to the noise generating mechanism ⋮ Stability of noisy Metropolis-Hastings ⋮ Dimension‐independent Markov chain Monte Carlo on the sphere ⋮ Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance ⋮ On coupling particle filter trajectories ⋮ Comparison of hit-and-run, slice sampler and random walk Metropolis ⋮ Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ Product-form estimators: exploiting independence to scale up Monte Carlo ⋮ Data-free likelihood-informed dimension reduction of Bayesian inverse problems ⋮ Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms