Some remarks on MCMC estimation of spectra of integral operators
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law of large numbersrandom matricesintegral operatorsspectrakernel operatorsMarkov chain Monte Carlo algorithmsempirical approximations
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Random matrices (probabilistic aspects) (60B20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Strong limit theorems (60F15) Integral operators (45P05) Integral operators (47G10)
Abstract: We prove a law of large numbers for empirical approximations of the spectrum of a kernel integral operator by the spectrum of random matrices based on a sample drawn from a Markov chain, which complements the results by V. Koltchinskii and E. Gin'{e} for i.i.d. sequences. In a special case of Mercer's kernels and geometrically ergodic chains, we also provide exponential inequalities, quantifying the speed of convergence.
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Cites work
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Cited in
(8)- Estimating the spectral gap of a trace-class Markov operator
- Consistent estimation of the spectrum of trace class data augmentation algorithms
- On the kernel of the covariance operator for Markov semigroups. I.
- Computing the asymptotic distribution of second-order \(U\)- and \(V\)-statistics
- Random discretization of the finite Fourier transform and related kernel random matrices
- From random matrices to long range dependence
- Trace class Markov chains for the normal-gamma Bayesian shrinkage model
- Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors
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