Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods

DOI10.1214/14-AOS1209zbMath1319.60152arXiv1307.3719MaRDI QIDQ464192

Randal Douc, Florian Maire, Jimmy Olsson

Publication date: 17 October 2014

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

Full work available at URL: https://arxiv.org/abs/1307.3719

zbMATH Keywords

Monte Carlo methodsasymptotic variancePeskun orderinginhomogeneous Markov chainspseudo-marginal algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (10)

Stability of noisy Metropolis-Hastings ⋮ Quantitative Convergence Rates for Subgeometric Markov Chains ⋮ Computable bounds of exponential moments of simultaneous hitting time for two time-inhomogeneous atomic Markov chains ⋮ Variational principles for asymptotic variance of general Markov processes ⋮ On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective ⋮ Introduction to ``On the use of Markov chain Monte Carlo methods for the sampling of mixture models by R. Douc, F. Maire, J. Olsson ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ A hybrid scan Gibbs sampler for Bayesian models with latent variables ⋮ Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods ⋮ Variational formulas for asymptotic variance of general discrete-time Markov chains

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• Monte Carlo sampling methods using Markov chains and their applications

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