Variance bounding Markov chains
From MaRDI portal
Publication:930683
DOI10.1214/07-AAP486zbMATH Open1142.60047OpenAlexW3105166259MaRDI QIDQ930683FDOQ930683
Abstract: We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis--Hastings algorithms.
Recommendations
- A note on variance bounding for continuous time Markov chains
- Variance bounding Markov chains, \(L_2\)-uniform mean ergodicity and the CLT
- Asymptotic variance of stationary reversible and normal Markov processes
- Maximum asymptotic variance of sums of finite Markov chains
- Variational formulas for asymptotic variance of general discrete-time Markov chains
Cites work
- scientific article; zbMATH DE number 3890132 (Why is no real title available?)
- scientific article; zbMATH DE number 472921 (Why is no real title available?)
- scientific article; zbMATH DE number 1022519 (Why is no real title available?)
- scientific article; zbMATH DE number 1560252 (Why is no real title available?)
- scientific article; zbMATH DE number 849925 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- A note on Metropolis-Hastings kernels for general state spaces
- A note on acceptance rate criteria for CLTS for Metropolis–Hastings algorithms
- Analysis of a nonreversible Markov chain sampler.
- Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
- Basic properties of strong mixing conditions. A survey and some open questions
- Bounds on the L 2 Spectrum for Markov Chains and Markov Processes: A Generalization of Cheeger's Inequality
- Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
- Convergence of Slice Sampler Markov Chains
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process
- Exponential convergence of Langevin distributions and their discrete approximations
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Geometric ergodicity and hybrid Markov chains
- Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
- Markov chains and stochastic stability
- Markov chains for exploring posterior distributions. (With discussion)
- Markov-chain monte carlo: Some practical implications of theoretical results
- Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
- Monte Carlo sampling methods using Markov chains and their applications
- Norm comparisons for data augmentation
- On the Markov chain central limit theorem
- On the applicability of regenerative simulation in Markov chain Monte Carlo
- On variance conditions for Markov chain CLTs
- Optimum Monte-Carlo sampling using Markov chains
- Ordering and improving the performance of Monte Carlo Markov chains.
- Perfect slice samplers
- Quantitative convergence rates of Markov chains: A simple account
- Rates of convergence for everywhere-positive Markov chains
- Rates of convergence of the Hastings and Metropolis algorithms
- Slice sampling. (With discussions and rejoinder)
- Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
Cited in
(24)- Accelerating reversible Markov chains
- Variance bounding of delayed-acceptance kernels
- Markov Bridges, Bisection and Variance Reduction
- Constructing optimal transition matrix for Markov chain Monte Carlo
- Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
- Hoeffding's inequalities for geometrically ergodic Markov chains on general state space
- Discrepancy estimates for acceptance-rejection samplers using stratified inputs
- scientific article; zbMATH DE number 6982334 (Why is no real title available?)
- Optimal Markov chain Monte Carlo sampling
- On the theoretical properties of the exchange algorithm
- A note on variance bounding for continuous time Markov chains
- Which ergodic averages have finite asymptotic variance?
- Variational formulas for asymptotic variance of general discrete-time Markov chains
- On the rate of convergence of the Gibbs sampler for the 1-D Ising model by geometric bound
- Accelerating Brownian motion on \(N\)-torus
- The use of a single pseudo-sample in approximate Bayesian computation
- A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
- CLTs and asymptotic variance of time-sampled Markov chains
- Attaining the optimal Gaussian diffusion acceleration
- Variance bounding Markov chains, \(L_2\)-uniform mean ergodicity and the CLT
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Variational principles for asymptotic variance of general Markov processes
- Geometric ergodicity and scanning strategies for two-component Gibbs samplers
- Inhomogeneous and anisotropic conditional density estimation from dependent data
This page was built for publication: Variance bounding Markov chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930683)
