Spectral bounds for certain two-factor non-reversible MCMC algorithms

DOI10.1214/ECP.V20-4528zbMATH Open1333.60165MaRDI QIDQ907972FDOQ907972

Authors: Jeffrey S. Rosenthal, P. Rosenthal 

Publication date: 2 February 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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zbMATH Keywords

Gibbs samplerMetropolis-Hastings algorithmconvergence rateMCMC algorithmspectrumoperatormarginal chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05) Applications of operator theory in probability theory and statistics (47N30)

Cited In (11)

• Metropolis-Hastings reversiblizations of non-reversible Markov chains
• Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors
• Analysis of a nonreversible Markov chain sampler.
• On a Metropolis-Hastings importance sampling estimator
• Convergence rates of two-component MCMC samplers
• Dimension-free mixing times of Gibbs samplers for Bayesian hierarchical models
• Analysis of non-reversible Markov chains via similarity orbits
• Some remarks on MCMC estimation of spectra of integral operators
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Mixing of MCMC algorithms

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