Consistency of Markov chain quasi-Monte Carlo on continuous state spaces (Q548531)
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English | Consistency of Markov chain quasi-Monte Carlo on continuous state spaces |
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Consistency of Markov chain quasi-Monte Carlo on continuous state spaces (English)
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29 June 2011
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Markov chain Monte Carlo (MCMC) algorithms are considered in which quasi random numbers are used instead of true random sequences. This technique is called quasi Monte Carlo MCMC (QMC-MCMC). The authors derive conditions of Metropolis and Gibbs sampler consistency in QMC-MCMC setting. The quasi-random numbers (vectors) \(u_1,\dots,u_n\dots\) used to generate the chain \(x(u_1),\dots,x(u_n),\dots\) are assumed to be completely uniformly distributed. It is assumed that MCMC is regular in the sense that for any continuous function \(f\) the mapping \((u_1,\dots,u_n)\to f(x(u_1),\dots,x(u_n))\) is Riemann integrable. The consistency proof is based on coupling arguments. A Gibbs sampler for sampling from posterior of Bayesian probit regression is considered as an example.
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completely uniformly distributed quasi-random sequence
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iterated functions mapping
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Riemann integrability
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Markov chain Monte Carlo algorithms
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Metropolis and Gibbs sampler consistency
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quasi-random numbers
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consistency
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Bayesian probit regression
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