Establishing some order amongst exact approximations of MCMCs

DOI10.1214/15-AAP1158zbMath1351.60097arXiv1404.6909WikidataQ109746489 ScholiaQ109746489MaRDI QIDQ350683

Matti Vihola, Christophe Andrieu

Publication date: 9 December 2016

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

Full work available at URL: https://arxiv.org/abs/1404.6909

zbMATH Keywords

Markov chain Monte Carlo; asymptotic variance; convex order; martingale coupling; pseudo-marginal algorithm

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60E15: Inequalities; stochastic orderings

65C05: Monte Carlo methods

60J05: Discrete-time Markov processes on general state spaces