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

DOI10.1016/J.SPL.2016.02.002zbMATH Open1345.60079arXiv1512.00736OpenAlexW2281500142WikidataQ96748968 ScholiaQ96748968MaRDI QIDQ274146FDOQ274146

Authors: Błażej Miasojedow, Wojciech Niemiro 

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Rao and Teh (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.

Full work available at URL: https://arxiv.org/abs/1512.00736

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zbMATH Keywords

hidden Markov modelsdrift conditionMarkov jump processesgeometric ergodicityMarkov chain Monte Carlo algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• General state space Markov chains and MCMC algorithms
• Delayed acceptance particle MCMC for exact inference in stochastic kinetic models
• Bayesian inference for Markov jump processes with informative observations
• An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
• Title not available (Why is that?)

Cited In (1)

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

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