Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo

DOI10.2307/2291067MaRDI QIDQ4844189zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Rosenthal

Publication date 6 November 1995

Full work available at URL https://doi.org/10.2307/2291067

zbMATH Keywords

bivariate normal modelcouplingdrift conditionGibbs samplerHarris recurrencehierarchical Poisson modelMetropolis-Hastings algorithmregeneration time

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Monte Carlo methods (65C05)

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Cited in

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• On the use of stochastic approximation Monte Carlo for Monte Carlo integration
• What do we know about the Metropolis algorithm?
• Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
• Two convergence properties of hybrid samplers
• Information bounds for Gibbs samplers
• Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
• Rates of convergence for everywhere-positive Markov chains
• Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• Bounds on regeneration times and convergence rates for Markov chains
• Geometric ergodicity of Metropolis algorithms
• A Monte Carlo approach to quantifying model error in Bayesian parameter estimation
• Exponential convergence rates of Markov chains under a weaken minorization condition
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• Convergence rates for semistochastic processes
• Small sets and Markov transition densities.
• One-shot coupling for certain stochastic recursive sequences.
• Quantitative bounds on convergence of time-inhomogeneous Markov chains
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• A slowly mixing Markov chain with implications for Gibbs sampling
• Convergence and accuracy of Gibbs sampling for conditional distributions in generalized linear models
• Applications of geometric bounds to the convergence rate of Markov chains on \(\mathbb R^ {n}\).
• A mixture representation of \(\pi\) with applications in Markov chain Monte Carlo and perfect sampling.
• Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
• Some characterizations of minimal Markov basis for sampling from discrete conditional distribu\-tions
• Convergence of independent particle systems
• Rates of convergence for Gibbs sampling for variance component models
• Markov chain convergence: From finite to infinite
• Rates of convergence of the Hastings and Metropolis algorithms
• Convergence properties of the Gibbs sampler for perturbations of Gaussians
• Stochastic alternating projections
• Geometric ergodicity and the spectral gap of non-reversible Markov chains
• Exact sampling for intractable probability distributions via a Bernoulli factory
• Convergence rate of Markov chain methods for genomic motif discovery
• Mixture of transmuted Pareto distribution: properties, applications and estimation under Bayesian framework
• Fast mixing of Metropolis-Hastings with unimodal targets
• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• On the convergence complexity of Gibbs samplers for a family of simple Bayesian random effects models
• Revisiting the Gelman-Rubin diagnostic
• Convergence rate bounds for iterative random functions using one-shot coupling
• Convergence rates in uniform ergodicity by hitting times and \(L^2\)-exponential convergence rates
• Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
• Wasserstein-based methods for convergence complexity analysis of MCMC with applications
• Dimension free convergence rates for Gibbs samplers for Bayesian linear mixed models
• Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants
• On the theoretical properties of the exchange algorithm
• Exact convergence analysis of the independent Metropolis-Hastings algorithms
• Convergence rates of attractive-repulsive MCMC algorithms
• Approximate bounding of mixing time for multiple-step Gibbs samplers
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions
• Couplings via comparison principle and exponential ergodicity of SPDEs in the hypoelliptic setting
• On the convergence time of some non-reversible Markov chain Monte Carlo methods
• Geometric ergodicity of a Metropolis-Hastings algorithm for Bayesian inference of phylogenetic branch lengths
• Estimating drift and minorization coefficients for Gibbs sampling algorithms
• On the limitations of single-step drift and minorization in Markov chain convergence analysis
• Sub-exponential rate of convergence to equilibrium for processes on the half-line
• A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers
• Exponential ergodicity and convergence for generalized reflected Brownian motion
• Hitting time and convergence rate bounds for symmetric Langevin diffusions
• Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression
• Consistent estimation of the spectrum of trace class data augmentation algorithms
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• A new approach to estimating the expected first hitting time of evolutionary algorithms
• A gentle stochastic thermostat for molecular dynamics
• Elementary bounds on mixing times for decomposable Markov chains
• Gibbs sampling, conjugate priors and coupling
• One-shot CFTP; application to a class of truncated Gaussian densities
• Nonasymptotic bounds on the estimation error of MCMC algorithms
• A Gibbs sampler on the \(n\)-simplex
• Analysis of convergence rates of some Gibbs samplers on continuous state spaces
• Geometric ergodicity for Bayesian shrinkage models
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Polynomial ergodicity of Markov transition kernels.
• A computational procedure for estimation of the mixing time of the random-scan Metropolis algorithm
• A note on formal constructions of sequential conditional couplings
• Convergence properties of data augmentation algorithms for high-dimensional robit regression
• SMALL AND PSEUDO-SMALL SETS FOR MARKOV CHAINS
• Retracted: Fixed point theorems and explicit estimates for convergence rates of continuous time Markov chains
• Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
• The polar slice sampler
• Generalization of discrete-time geometric bounds to convergence rate of Markov processes on Rⁿ
• Convergence in the Wasserstein Metric for Markov Chain Monte Carlo Algorithms with Applications to Image Restoration
• On the simulation of Markov chain steady-state distribution using CFTP algorithm
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
• Stability of noisy Metropolis-Hastings
• Geometric ergodicity of the Bayesian Lasso
• Geometric ergodicity for classes of homogeneous Markov chains
• Bayesian density estimation using bernstein polynomials
• Markov-chain monte carlo: Some practical implications of theoretical results
• Conductance bounds on the L² convergence rate of Metropolis algorithms on unbounded state spaces
• Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
• Data augmentation, frequentist estimation, and the Bayesian analysis of multinomial logit models
• scientific article; zbMATH DE number 1560254 (Why is no real title available?)
• Discretization of Continuous Markov Chains and Markov Chain Monte Carlo Convergence Assessment
• Gibbs/Metropolis algorithms on a convex polytope
• Bayesian inference in the presence of intractable normalizing functions
• Convergence rate and concentration inequalities for Gibbs sampling in high dimension
• Possible biases induced by mcmc convergence diagnostics

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