Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo

DOI10.1214/10-AOS828MaRDI QIDQ548543zbMATH OpenFDO

Authors Yves F. Atchadé

Publication date 29 June 2011

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.1164

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05)

Abstract: We study the asymptotic behavior of kernel estimators of asymptotic variances (or long-run variances) for a class of adaptive Markov chains. The convergence is studied both in $L^p$ and almost surely. The results also apply to Markov chains and improve on the existing literature by imposing weaker conditions. We illustrate the results with applications to the $operatornameGARCH(1,1)$ Markov model and to an adaptive MCMC algorithm for Bayesian logistic regression.

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Cited in

(17)

• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
• Markov chain Monte Carlo confidence intervals
• Neuronized Priors for Bayesian Sparse Linear Regression
• Analyzing Markov chain Monte Carlo output
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Estimation of the Asymptotic Variance in the CLT for Markov Chains
• Weighted batch means estimators in Markov chain Monte Carlo
• A martingale decomposition for quadratic forms of Markov chains (with applications)
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• Variance estimation in adaptive sequential Monte Carlo
• Batch size selection for variance estimators in MCMC
• Variance bounding and geometric ergodicity of Markov chain Monte Carlo kernels for approximate Bayesian computation
• Geometric ergodicity and scanning strategies for two-component Gibbs samplers
• A central limit theorem for adaptive and interacting Markov chains

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