On the Poisson equation for Metropolis-Hastings chains
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Publication:1697061
DOI10.3150/17-BEJ932zbMath1429.65010arXiv1511.07464MaRDI QIDQ1697061
Aleksandar Mijatović, Jure Vogrinc
Publication date: 15 February 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.07464
Markov chain Monte Carlocentral limit theoremasymptotic varianceweak approximationvariance reductionMetropolis-Hastings algorithmPoisson equation for Markov chains
Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)
Related Items (7)
Matrix-Analytic Methods for Solving Poisson’s Equation with Applications to Markov Chains of GI/G/1-Type ⋮ Stein's method meets computational statistics: a review of some recent developments ⋮ Variance reduction for Markov chains with application to MCMC ⋮ Convergence rates for a class of estimators based on Stein's method ⋮ Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation ⋮ Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport ⋮ Variance reduction for Metropolis-Hastings samplers
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