On the efficiency of pseudo-marginal random walk Metropolis algorithms

DOI10.1214/14-AOS1278zbMath1326.65015arXiv1309.7209OpenAlexW2003456014WikidataQ61434481 ScholiaQ61434481MaRDI QIDQ2338926

Jeffrey S. Rosenthal, Gareth O. Roberts, Chris Sherlock, Alexandre H. Thiery

Publication date: 27 March 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7209

zbMATH Keywords

Markov chain Monte Carlo method efficiency optimal scaling diffusion limit pseudo-marginal random walk Metropolis-Hastings algorithm target density

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Markov chain Monte Carlo with the integrated nested Laplace approximation, Which ergodic averages have finite asymptotic variance?, The use of a single pseudo-sample in approximate Bayesian computation, Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms, Direct statistical inference for finite Markov jump processes via the matrix exponential, Stochastic zeroth-order discretizations of Langevin diffusions for Bayesian inference, Bayesian inference for age-structured population model of infectious disease with application to varicella in Poland, The node-wise pseudo-marginal method: model selection with spatial dependence on latent graphs, The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC, Unnamed Item, Optimal scaling for the pseudo-marginal random walk Metropolis: insensitivity to the noise generating mechanism, Stability of noisy Metropolis-Hastings, Augmentation schemes for particle MCMC, Model selection for time series of count data, Likelihood-free stochastic approximation EM for inference in complex models, A Dirichlet form approach to MCMC optimal scaling, Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models, Accelerating inference for stochastic kinetic models, Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter, Bayesian computation methods for inference in stochastic kinetic models, Bayesian model calibration for diblock copolymer thin film self-assembly using power spectrum of microscopy data and machine learning surrogate, Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models, Optimal scaling of random-walk Metropolis algorithms on general target distributions, Optimal scaling of MCMC beyond Metropolis, Automatically adapting the number of state particles in \(\text{SMC}^2\), Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments, On coupling particle filter trajectories, Unbiased Bayesian inference for population Markov jump processes via random truncations, A rare event approach to high-dimensional approximate Bayesian computation, Efficient Bayesian model choice for partially observed processes: with application to an experimental transmission study of an infectious disease, Approximate Bayesian computation and simulation-based inference for complex stochastic epidemic models, Statistical tools for seed bank detection, Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities, Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods, Particle MCMC algorithms and architectures for accelerating inference in state-space models, On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods, A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology, Particle Metropolis-Hastings using gradient and Hessian information, Scalable inference for Markov processes with intractable likelihoods, Bayesian computation: a summary of the current state, and samples backwards and forwards, Efficiency of delayed-acceptance random walk metropolis algorithms, Particle methods for stochastic differential equation mixed effects models, Speeding up MCMC by Delayed Acceptance and Data Subsampling, Speeding Up MCMC by Efficient Data Subsampling, Subsampling MCMC -- an introduction for the survey statistician, Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions, Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models, Importance sampling for partially observed temporal epidemic models, Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins, Efficient sampling of conditioned Markov jump processes, Bayesian inference for Markov jump processes with informative observations, Likelihood free inference for Markov processes: a comparison, Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC, Metropolized Randomized Maximum Likelihood for Improved Sampling from Multimodal Distributions, Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes, On particle methods for parameter estimation in state-space models, Bayesian estimation of long-run risk models using sequential Monte Carlo, Delayed acceptance particle MCMC for exact inference in stochastic kinetic models

Cites Work