Variance bounding Markov chains

DOI10.1214/07-AAP486zbMath1142.60047arXiv0806.2747OpenAlexW3105166259MaRDI QIDQ930683

Jeffrey S. Rosenthal, Gareth O. Roberts

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2747

zbMATH Keywords

Markov chain Monte Carlospectrumvariancecentral limit theoremMetropolis-Hastings algorithmgeometric ergodicityPeskun order

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Spectrum, resolvent (47A10)

Related Items (21)

Which ergodic averages have finite asymptotic variance? ⋮ The use of a single pseudo-sample in approximate Bayesian computation ⋮ On the theoretical properties of the exchange algorithm ⋮ Accelerating reversible Markov chains ⋮ Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations ⋮ Variance bounding of delayed-acceptance kernels ⋮ Accelerating Brownian motion on \(N\)-torus ⋮ Constructing optimal transition matrix for Markov chain Monte Carlo ⋮ A note on variance bounding for continuous time Markov chains ⋮ On the rate of convergence of the Gibbs sampler for the 1-D Ising model by geometric bound ⋮ Discrepancy Estimates For Acceptance-Rejection Samplers Using Stratified Inputs ⋮ A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms ⋮ Variational principles for asymptotic variance of general Markov processes ⋮ CLTs and asymptotic variance of time-sampled Markov chains ⋮ Inhomogeneous and anisotropic conditional density estimation from dependent data ⋮ Hoeffding's inequalities for geometrically ergodic Markov chains on general state space ⋮ Geometric Ergodicity and Scanning Strategies for Two-Component Gibbs Samplers ⋮ Attaining the optimal Gaussian diffusion acceleration ⋮ VARIANCE BOUNDING MARKOV CHAINS, L₂-UNIFORM MEAN ERGODICITY AND THE CLT ⋮ Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms ⋮ Variational formulas for asymptotic variance of general discrete-time Markov chains

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