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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) (2011) Quantitative non-geometric convergence bounds for independence samplers. Methodology and Computing in Applied Probability, Volume 13 (Number 2). pp. 391-403. doi:10.1007/s11009-009-9157-z ISSN 1387-5841.
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Official URL: http://dx.doi.org/10.1007/s11009-009-9157-z
Abstract
We provide precise, rigorous, fairly sharp quantitative upper and lower bounds on the time to convergence of independence sampler MCMC algorithms which are not geometrically ergodic. This complements previous work on the geometrically ergodic case. Our results illustrate that even simple-seeming Markov chains often converge extremely slowly, and furthermore slight changes to a parameter value can have an enormous effect on convergence times.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Methodology and Computing in Applied Probability | ||||
Publisher: | Springer | ||||
ISSN: | 1387-5841 | ||||
Official Date: | June 2011 | ||||
Dates: |
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Volume: | Volume 13 | ||||
Number: | Number 2 | ||||
Page Range: | pp. 391-403 | ||||
DOI: | 10.1007/s11009-009-9157-z | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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