Fluctuations of interacting Markov chain Monte Carlo methods

DOI10.1016/J.SPA.2012.01.001zbMath1244.60043arXiv1201.0480OpenAlexW2105878523MaRDI QIDQ424473

Pierre Del Moral, Bernard Bercu, Arnaud Doucet

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0480

zbMATH Keywords

random fieldsMarkov chain Monte Carlo algorithmsmartingale limit theoremsmultivariate central limit theoremsself-interacting Markov chains

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of branching processes (60J85)

Related Items (6)

On the convergence rates of some adaptive Markov chain Monte Carlo algorithms ⋮ Sequentially interacting Markov chain Monte Carlo methods ⋮ Fluctuations of interacting Markov chain Monte Carlo methods ⋮ Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations ⋮ A cautionary tale on the efficiency of some adaptive Monte Carlo schemes ⋮ Limit theorems for sequential MCMC methods

Cites Work

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• Fluctuations of interacting Markov chain Monte Carlo methods
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Sequentially interacting Markov chain Monte Carlo methods
• On nonlinear Markov chain Monte Carlo
• On the ergodicity properties of some adaptive MCMC algorithms
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
• Rates of convergence of the Hastings and Metropolis algorithms
• Sequential Monte Carlo Methods in Practice
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms

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