Efficient Bernoulli factory Markov chain Monte Carlo for intractable posteriors

DOI10.1093/BIOMET/ASAB031MaRDI QIDQ5081558zbMATH OpenOpenAlexFDO

Authors

Publication date 17 June 2022

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.07471

zbMATH Keywords

Barker's methodBernoulli factoryintractable likelihoodMarkov chain Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(7)

• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
• Efficient Sequential Monte-Carlo Samplers for Bayesian Inference
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Optimal scaling of MCMC beyond Metropolis
• Bernoulli factory: the \(2\mathtt{p}\)-coin problem
• Lower bounds on the rate of convergence for accept-reject-based Markov chains in Wasserstein and total variation distances
• Exact simulation of diffusions and improved algorithms for log-concave sampling

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