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Quantitative non-geometric convergence bounds for independence samplers
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Roberts, Gareth O. and Rosenthal, Jeffrey S. (Jeffrey Seth) (2009) Quantitative non-geometric convergence bounds for independence samplers. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.9).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
Markov chain Monte Carlo (MCMC) algorithms are widely used in statistics, physics, and
computer science, to sample from complicated high-dimensional probability distributions. A
central question is how quickly the chain converges to the target (stationarity) distribution.
In this paper, we consider this question for a particular class of MCMC algorithms,
independence samplers (Hastings, 1970; Tierney, 1994).
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Distribution (Probability theory), Markov processes, Monte Carlo method | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.2009 | ||||
Number: | No.9 | ||||
Number of Pages: | 14 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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