A computational procedure for estimation of the mixing time of the random-scan Metropolis algorithm

DOI10.1007/S11222-015-9568-3zbMath1505.62383OpenAlexW767349109MaRDI QIDQ2628881

David A. Spade

Publication date: 19 July 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-015-9568-3

zbMATH Keywords

Markov chain Monte Carlomixing timeBayesian inferencecomputational statisticsdrift and minorization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Related Items (4)

Approximate verification of geometric ergodicity for multiple-step Metropolis transition kernels ⋮ Approximate bounding of mixing time for multiple-step Gibbs samplers ⋮ Estimating drift and minorization coefficients for Gibbs sampling algorithms ⋮ A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers

Cites Work

• Unnamed Item
• Quantitative bounds for Markov chain convergence: Wasserstein and total variation distances
• Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
• On convergence rates of Gibbs samplers for uniform distributions
• Two convergence properties of hybrid samplers
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Geometric ergodicity and hybrid Markov chains
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• Geometric ergodicity of Metropolis algorithms
• Inference from iterative simulation using multiple sequences
• Markov chain Monte Carlo methods for stochastic volatility models.
• Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
• Markov chains for exploring posterior distributions. (With discussion)
• Simulation Run Length Control in the Presence of an Initial Transient
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• On the geometric ergodicity of hybrid samplers
• Bayesian Model Selection in Finite Mixtures by Marginal Density Decompositions
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Adaptive importance sampling in monte carlo integration
• Contemporary Bayesian Econometrics and Statistics

This page was built for publication: A computational procedure for estimation of the mixing time of the random-scan Metropolis algorithm