On convergence of properly weighted samples to the target distribution

DOI10.1016/j.jspi.2007.05.030zbMath1134.65007arXivmath/0505045OpenAlexW1964093761MaRDI QIDQ2474400

Sonia Malefaki, George Iliopoulos

Publication date: 6 March 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505045

zbMATH Keywords

convergenceimportance samplingMarkov chain Monte Carlo methodMetropolis-Hastings algorithmlimit distributionsemi-Markov processproperly weighted samples

Mathematics Subject Classification ID

Related Items (6)

Jump Markov chains and rejection-free Metropolis algorithms ⋮ Rao–Blackwellisation in the Markov Chain Monte Carlo Era ⋮ A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms ⋮ The importance Markov chain ⋮ Simulation from a Target Distribution Based on Discretization and Weighting ⋮ Variance reduction of estimators arising from Metropolis-Hastings algorithms

Cites Work

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• Equilibrium measures for semi-Markov processes
• Rates of convergence of the Hastings and Metropolis algorithms
• A Theory for Dynamic Weighting in Monte Carlo Computation
• Sequential Monte Carlo Methods for Dynamic Systems
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
• Monte Carlo strategies in scientific computing
• Semi-Markov processes and reliability

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