Strong invariance principles for ergodic Markov processes
From MaRDI portal
Publication:6200877
DOI10.1214/23-EJS2199arXiv2111.12603OpenAlexW3215950748WikidataQ128925895 ScholiaQ128925895MaRDI QIDQ6200877FDOQ6200877
Authors: Ardjen Pengel, Joris Bierkens 
Publication date: 25 March 2024
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: Strong invariance principles describe the error term of a Brownian approximation of the partial sums of a stochastic process. While these strong approximation results have many applications, the results for continuous-time settings have been limited. In this paper, we obtain strong invariance principles for a broad class of ergodic Markov processes. Strong invariance principles provide a unified framework for analysing commonly used estimators of the asymptotic variance in settings with a dependence structure. We demonstrate how this can be used to analyse the batch means method for simulation output of Piecewise Deterministic Monte Carlo samplers. We also derive a fluctuation result for additive functionals of ergodic diffusions using our strong approximation results.
Full work available at URL: https://arxiv.org/abs/2111.12603
Recommendations
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)
Cites Work
- Multivariate output analysis for Markov chain Monte Carlo
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- Komlós-Major-Tusnády approximation under dependence
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Foundations of Modern Probability
- Split invariance principles for stationary processes
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Covariance inequalities for strongly mixing processes
- Title not available (Why is that?)
- Basic properties of strong mixing conditions. A survey and some open questions
- The zig-zag process and super-efficient sampling for Bayesian analysis of big data
- The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- Adaptive Markov Chain Monte Carlo through Regeneration
- Title not available (Why is that?)
- Stability of Markovian processes II: continuous-time processes and sampled chains
- One-Dependent Regenerative Processes and Queues in Continuous Time
- Nonparametric Statistical Data Modeling
- Title not available (Why is that?)
- Exponential and uniform ergodicity of Markov processes
- Optimal Mean-Squared-Error Batch Sizes
- Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- On the increments of Wiener and related processes
- Estimating the asymptotic variance with batch means
- The asymptotic validity of sequential stopping rules for stochastic simulations
- Accelerating Gaussian diffusions
- Irreversible Langevin samplers and variance reduction: a large deviations approach
- Variance reduction using nonreversible Langevin samplers
- Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
- Strong Consistency and Other Properties of the Spectral Variance Estimator
- Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- Title not available (Why is that?)
- Large-Sample Results for Batch Means
- A splitting technique for Harris recurrent Markov chains
- Subgeometric ergodicity of strong Markov processes
- Limit theorems for null recurrent Markov processes
- A New Approach to the Limit Theory of Recurrent Markov Chains
- Regeneration in Markov Chain Samplers
- Extensions of results of Komlós, Major, and Tusnády to the multivariate case
- Criteria for recurrence and existence of invariant measures for multidimensional diffusions
- Geometric ergodicity of Harris recurrent Markov chains with applications to renewal theory
- Markov chains and de-initializing processes
- Markov Chains
- Strong approximations and sequential change-point analysis for diffusion processes
- How big are the increments of a Wiener process?
- Limit theorems for the square integral of Brownian motion and its increments
- THE KOMLÓS-MAJOR-TUSNÁDY APPROXIMATIONS AND THEIR APPLICATIONS
- Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
- On the applicability of regenerative simulation in Markov chain Monte Carlo
- On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
- The rate of convergence in Orey's theorem for Harris recurrent Markov chains with applications to renewal theory
- Title not available (Why is that?)
- An improvement of Strassen's invariance principle
- On the Komlós, Major and Tusnády strong approximation for some classes of random iterates
- Strong approximation for additive functionals of geometrically ergodic Markov chains
- On additive functionals of Markov chains
- On the size of the increments of nonstationary Gaussian processes
- Properties of Standardized Time Series Weighted Area Variance Estimators
- The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes
- A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
- On the large increments of fractional Brownian motion
- Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- Limit theorems for the zig-zag process
- On sub-geometric ergodicity of diffusion processes
- Large-sample normality of the batch-means variance estimator
- Geometric ergodicity of the bouncy particle sampler
- High excursions of Bessel and related random processes
- Subgeometric hypocoercivity for piecewise-deterministic Markov process Monte Carlo methods
- Exponential ergodicity of the bouncy particle sampler
- Ergodicity of the zigzag process
- Strong invariance principle for singular diffusions.
Cited In (1)
This page was built for publication: Strong invariance principles for ergodic Markov processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6200877)
