The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC

DOI10.1080/10618600.2021.1917420OpenAlexW3156556257MaRDI QIDQ5066474

Minh-Ngoc Tran, Matias Quiroz, Robert Kohn, Mattias Villani, Khue-Dung Dang

Publication date: 29 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08232

zbMATH Keywords

Bayesian inferenceexact inferencecontrol variatesPoisson estimatorpseudo-marginal MCMCdata subsampling

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

A Statistical Recurrent Stochastic Volatility Model for Stock Markets ⋮ Comparing consensus Monte Carlo strategies for distributed Bayesian computation ⋮ Subsampling MCMC -- an introduction for the survey statistician

Uses Software

• CODA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The pseudo-marginal approach for efficient Monte Carlo computations
• The Correlated Pseudo-Marginal Method
• The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Two-stage Metropolis-Hastings for tall data
• Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
• Subsampling MCMC -- an introduction for the survey statistician
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• On nonnegative unbiased estimators
• Unbiased Estimation with Square Root Convergence for SDE Models
• Approximation Theorems of Mathematical Statistics
• Speeding up MCMC by Delayed Acceptance and Data Subsampling
• A Parallel Mixture of SVMs for Very Large Scale Problems
• Discontinuous Hamiltonian Monte Carlo for discrete parameters and discontinuous likelihoods
• Equation of State Calculations by Fast Computing Machines
• Speeding Up MCMC by Efficient Data Subsampling
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Monte Carlo sampling methods using Markov chains and their applications

This page was built for publication: The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC