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

DOI10.1214/ECP.V20-4528MaRDI QIDQ907972zbMATH OpenFDO

Authors Jeffrey S. Rosenthal, P. Rosenthal

Publication date 2 February 2016

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

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)

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Cited in

(11)

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

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