Variance bounding Markov chains

DOI10.1214/07-AAP486zbMATH Open1142.60047arXiv0806.2747OpenAlexW3105166259MaRDI QIDQ930683FDOQ930683

Jeffrey S. Rosenthal, Gareth O. Roberts

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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 $L^2$ functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis--Hastings algorithms.

Full work available at URL: https://arxiv.org/abs/0806.2747

zbMATH Keywords

Markov chain Monte Carlocentral limit theoremMetropolis-Hastings algorithmvariancespectrumgeometric ergodicityPeskun order

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Spectrum, resolvent (47A10)

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Cited In (24)

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