Geometric ergodicity of Rao and Teh's algorithm for Markov jump processes and CTBNs

DOI10.1214/17-EJS1348zbMATH Open1386.65045arXiv1606.08160OpenAlexW2962870070WikidataQ96748966 ScholiaQ96748966MaRDI QIDQ1684152FDOQ1684152

Authors: Błażej Miasojedow, Wojciech Niemiro 

Publication date: 8 December 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Rao and Teh (2012, 2013) introduced an efficient MCMC algorithm for sampling from the posterior distribution of a hidden Markov jump process. The algorithm is based on the idea of sampling virtual jumps. In the present paper we show that the Markov chain generated by Rao and Teh's algorithm is geometrically ergodic. To this end we establish a geometric drift condition towards a small set. A similar result is also proved for a special version of the algorithm, used for probabilistic inference in Continuous Time Bayesian Networks.

Full work available at URL: https://arxiv.org/abs/1606.08160

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zbMATH Keywords

MCMChidden Markov modelsdrift conditiongeometric ergodicityposterior samplingcontinuous time Markov processessmall setcontinuous-time Bayesian network (CTBN)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (3)

• Geometric ergodicity of Rao and Teh's algorithm for homogeneous Markov jump processes
• Structure learning for continuous time Bayesian networks via penalized likelihood
• Efficient Parameter Sampling for Markov Jump Processes

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