Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
From MaRDI portal
Publication:605038
DOI10.3150/09-BEJ199zbMath1215.60046arXiv0807.2952OpenAlexW1995687931MaRDI QIDQ605038
Gersende Fort, Yves F. Atchadé
Publication date: 12 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.2952
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Related Items
Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter ⋮ An adaptive multiple-try Metropolis algorithm ⋮ A note on formal constructions of sequential conditional couplings ⋮ Parallel tempering strategies for model-based landmark detection on shapes ⋮ Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms ⋮ Limit theorems for some adaptive MCMC algorithms with subgeometric kernels ⋮ Quantitative Convergence Rates for Subgeometric Markov Chains ⋮ Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms ⋮ Adaptive Gibbs samplers and related MCMC methods ⋮ A computational framework for empirical Bayes inference ⋮ Bayesian nonparametric vector autoregressive models ⋮ Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II ⋮ Markov chain Monte Carlo algorithms with sequential proposals ⋮ Convergence of adaptive and interacting Markov chain Monte Carlo algorithms ⋮ On the stability and ergodicity of adaptive scaling Metropolis algorithms ⋮ A framework for adaptive MCMC targeting multimodal distributions ⋮ A central limit theorem for adaptive and interacting Markov chains ⋮ On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic ⋮ Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo ⋮ Robust adaptive Metropolis algorithm with coerced acceptance rate ⋮ A cautionary tale on the efficiency of some adaptive Monte Carlo schemes ⋮ Ergodicity of Markov chain Monte Carlo with reversible proposal ⋮ Time-varying sparsity in dynamic regression models ⋮ On the convergence of stochastic approximations under a subgeometric ergodic Markov dynamic ⋮ Nested adaptation of MCMC algorithms
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
- Markov chains and stochastic stability
- On adaptive Markov chain Monte Carlo algorithms
- On the ergodicity properties of some adaptive MCMC algorithms
- General state space Markov chains and MCMC algorithms
- Recent advances in invariance principles for stationary sequences
- Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
- Optimal scaling for various Metropolis-Hastings algorithms.
- \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
- Geometric ergodicity of Metropolis algorithms
- Polynomial convergence rates of Markov chains
- Central limit theorems for additive functionals of Markov chains.
- Practical drift conditions for subgeometric rates of convergence.
- An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
- On the efficiency of adaptive MCMC algorithms
- Computable convergence rates for sub-geometric ergodic Markov chains
- Polynomial ergodicity of Markov transition kernels.
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Adaptive Markov Chain Monte Carlo through Regeneration
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Monte Carlo sampling methods using Markov chains and their applications
- An adaptive Metropolis algorithm
