Pseudo-marginal Metropolis–Hastings sampling using averages of unbiased estimators

DOI10.1093/BIOMET/ASX031OpenAlexW2547669836WikidataQ61434465 ScholiaQ61434465MaRDI QIDQ5384504

Chris Sherlock, Alexandre H. Thiery, Anthony J. T. Lee

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09788

zbMATH Keywords

importance samplingpseudo-marginal Markov chain Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Which ergodic averages have finite asymptotic variance? ⋮ Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms ⋮ Full Bayesian inference in hidden Markov models of plant growth ⋮ Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC

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