Consistency of Markov chain quasi-Monte Carlo on continuous state spaces

DOI10.1214/10-AOS831zbMath1225.65010arXiv1105.1896OpenAlexW3106529729MaRDI QIDQ548531

S. Chen, Josef Dick, Art B. Owen

Publication date: 29 June 2011

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

Full work available at URL: https://arxiv.org/abs/1105.1896

zbMATH Keywords

consistencyMarkov chain Monte Carlo algorithmsBayesian probit regressioncompletely uniformly distributed quasi-random sequenceiterated functions mappingMetropolis and Gibbs sampler consistencyquasi-random numbersRiemann integrability

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (12)

Characterization of matrices \(B\) such that \((I,B,B^2)\) generates a digital net with \(t\)-value zero ⋮ Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices ⋮ New Inputs and Methods for Markov Chain Quasi-Monte Carlo ⋮ The Inverse of the Star-Discrepancy Problem and the Generation of Pseudo-Random Numbers ⋮ Discrepancy Estimates For Acceptance-Rejection Samplers Using Stratified Inputs ⋮ Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall ⋮ A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo ⋮ Discrepancy bounds for deterministic acceptance-rejection samplers ⋮ Equidistribution, uniform distribution: a probabilist's perspective ⋮ Markov chain simulation for multilevel Monte Carlo ⋮ Convergence analysis of herded-Gibbs-type sampling algorithms: effects of weight sharing ⋮ Computation of Expectations by Markov Chain Monte Carlo Methods

Uses Software

• MersenneTwister

Cites Work

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