An asymptotic Peskun ordering and its application to lifted samplers

DOI10.3150/23-BEJ1674MaRDI QIDQ6565323zbMATH OpenFDO

Authors Philippe Gagnon, Florian Maire

Publication date 2 July 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/23-BEJ1674

zbMATH Keywords

Bayesian statisticsbinary random variablesIsing modelMarkov chain Monte Carlo methodsvariable selection

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A note on Metropolis-Hastings kernels for general state spaces
• Analysis of a nonreversible Markov chain sampler.
• Approximate spectral gaps for Markov chain mixing times in high dimensions
• Asymptotic Statistics
• Equation of state calculations by fast computing machines
• Informed proposals for local MCMC in discrete spaces
• Lifting Markov chains to speed up mixing
• Monte Carlo sampling methods using Markov chains and their applications
• Non-reversible guided Metropolis kernel
• Non-reversible Metropolis-Hastings
• Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme
• Nonreversible Jump Algorithms for Bayesian Nested Model Selection
• Optimum Monte-Carlo sampling using Markov chains
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• The Barker Proposal: Combining Robustness and Efficiency in Gradient-Based MCMC
• The Bernstein-von Mises theorem under misspecification
• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers

Cited in

(3)

• Robust heavy-tailed versions of generalized linear models with applications in actuarial science
• Efficiency of reversible MCMC methods: elementary derivations and applications to composite methods
• Theoretical guarantees for lifted samplers

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