Mixing of MCMC algorithms

DOI10.1080/00949655.2019.1615064OpenAlexW2944205837WikidataQ127898112 ScholiaQ127898112MaRDI QIDQ5107455

Lars Holden

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1615064

zbMATH Keywords

recurrencemixingMCMCvariance estimatesoptimal step lengthacceptance rates in Metropolis-Hastings algorithm

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Markov chains and stochastic stability
• Geometric bounds for eigenvalues of Markov chains
• Spectral bounds for certain two-factor non-reversible MCMC algorithms
• Optimal scaling for partially updating MCMC algorithms
• Geometric convergence of the Metropolis-Hastings simulation algorithm
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Corrigendum to ``Bounds on regeneration times and convergence rates for Markov chains
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Adaptive optimal scaling of Metropolis–Hastings algorithms using the Robbins–Monro process
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Regeneration in Markov Chain Samplers

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