Smoothness of Metropolis-Hastings algorithm and application to entropy estimation

DOI10.1051/PS/2012004MaRDI QIDQ5408501zbMATH OpenOpenAlexFDO

Authors Didier Chauveau, P. Vandekerkhove

Publication date 10 April 2014

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ps/2012004

zbMATH Keywords

entropyMetropolis-Hastings algorithmKullback divergencenonparametric statistic

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

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(2)

• Markov Kernels Local Aggregation for Noise Vanishing Distribution Sampling
• Entropy-based burn-in time analysis and ranking for (A)MCMC algorithms in high dimension

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