On geometric ergodicity of additive and multiplicative transformation-based Markov chain Monte Carlo in high dimensions

DOI10.1214/15-BJPS295MaRDI QIDQ509593zbMATH OpenFDO

Authors Kushal Kr. Dey, Sourabh Bhattacharya

Publication date 17 February 2017

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.0915

zbMATH Keywords

mixtureacceptance rategeometric ergodicityhigh dimensionproposal distributiontransformation-based Markov chain Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Abstract: Recently Dutta and Bhattacharya (2013) introduced a novel Markov Chain Monte Carlo methodology that can simultaneously update all the components of high dimensional parameters using simple deterministic transformations of a one-dimensional random variable drawn from any arbitrary distribution defined on a relevant support. The methodology, which the authors refer to as Transformation-based Markov Chain Monte Carlo (TMCMC), greatly enhances computational speed and acceptance rate in high-dimensional problems. Two significant transformations associated with TMCMC are additive and multiplicative transformations. Combinations of additive and multiplicative transformations are also of much interest. In this work we investigate geometric ergodicity associated with additive and multiplicative TMCMC, along with their combinations, and illustrate their efficiency in practice with simulation studies.

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