Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
DOI10.1017/apr.2019.40zbMath1427.60146arXiv1707.08510OpenAlexW2984713686WikidataQ126808212 ScholiaQ126808212MaRDI QIDQ5203974
Jure Vogrinc, Aleksandar Mijatović
Publication date: 9 December 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.08510
asymptotic variancelarge deviationsvariance reductionBerry-Esseen boundoptimal Young's inequalityPoisson equation for diffusionsscaling limits of Metropolis-Hastings chain
Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10) Transition functions, generators and resolvents (60J35)
Related Items (5)
Cites Work
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