Nonasymptotic bounds on the estimation error of MCMC algorithms
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Publication:2435233
Abstract: We address the problem of upper bounding the mean square error of MCMC estimators. Our analysis is nonasymptotic. We first establish a general result valid for essentially all ergodic Markov chains encountered in Bayesian computation and a possibly unbounded target function . The bound is sharp in the sense that the leading term is exactly , where is the CLT asymptotic variance. Next, we proceed to specific additional assumptions and give explicit computable bounds for geometrically and polynomially ergodic Markov chains under quantitative drift conditions. As a corollary, we provide results on confidence estimation.
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Cited in
(32)- Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
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