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Minimising MCMC variance via diffusion limits, with an application to simulated tempering
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Roberts, Gareth O. and Rosenthal, Jeffrey S. (Jeffrey Seth) (2014) Minimising MCMC variance via diffusion limits, with an application to simulated tempering. The Annals of Applied Probability, 24 (1). pp. 131-149. doi:10.1214/12-AAP918 ISSN 1050-5164.
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Official URL: http://dx.doi.org/10.1214/12-AAP918
Abstract
We derive new results comparing the asymptotic variance of diffusions by writing them as appropriate limits of discrete-time birth–death chains which themselves satisfy Peskun orderings. We then apply our results to simulated tempering algorithms to establish which choice of inverse temperatures minimises the asymptotic variance of all functionals and thus leads to the most efficient MCMC algorithm.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Markov processes, Monte Carlo method | ||||
Journal or Publication Title: | The Annals of Applied Probability | ||||
Publisher: | Institute of Mathematical Statistics | ||||
ISSN: | 1050-5164 | ||||
Official Date: | January 2014 | ||||
Dates: |
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Volume: | 24 | ||||
Number: | 1 | ||||
Page Range: | pp. 131-149 | ||||
DOI: | 10.1214/12-AAP918 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 24 April 2017 | ||||
Date of first compliant Open Access: | 24 April 2017 |
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