Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques
From MaRDI portal
Publication:5326129
DOI10.1007/978-3-642-27440-4_31zbMath1271.65007arXiv1101.5837WikidataQ96748975 ScholiaQ96748975MaRDI QIDQ5326129
Krzysztof Łatuszyński, Wojciech Niemiro, Błażej Miasojedow
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.5837
algorithm; confidence intervals; renewal theory; mean square error; nonasymptotic bounds; sequential statistics; Markov chain Monte Carlo trajectory; split chain construction
60J22: Computational methods in Markov chains
62F25: Parametric tolerance and confidence regions
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm, Nonasymptotic bounds on the estimation error of MCMC algorithms, Hit-and-Run for Numerical Integration, Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rigorous confidence bounds for MCMC under a geometric drift condition
- Markov chains and stochastic stability
- On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
- General state space Markov chains and MCMC algorithms
- Explicit error bounds for lazy reversible Markov chain Monte Carlo
- On variance conditions for Markov chain CLTs
- Random generation of combinatorial structures from a uniform distribution
- Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
- Geometric ergodicity and hybrid Markov chains
- \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
- Catalytic perfect simulation
- Hoeffding's inequality for uniformly ergodic Markov chains
- Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
- 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.
- Rates of convergence of the Hastings and Metropolis algorithms
- Gibbs sampling for a Bayesian hierarchical general linear model
- Nonasymptotic bounds on the estimation error of MCMC algorithms
- A splitting technique for Harris recurrent Markov chains
- A New Approach to the Limit Theory of Recurrent Markov Chains
- On the geometric ergodicity of hybrid samplers
- On the applicability of regenerative simulation in Markov chain Monte Carlo
- MC's for MCMC'ists
- Regeneration in Markov Chain Samplers
- Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
- How to couple from the past using a read-once source of randomness
- Fixed Precision MCMC Estimation by Median of Products of Averages
- On the geometric ergodicity of Metropolis-Hastings algorithms
- On Excess Over the Boundary
- A regeneration proof of the central limit theorem for uniformly ergodic Markov chains