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105
General state space Markov chains and MCMC algorithm
 PROBABILITY SURVEYS
, 2004
"... This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform e ..."
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Cited by 180 (38 self)
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This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform ergodicity are presented, along with quantitative bounds on the rate of convergence to stationarity. Many of these results are proved using direct coupling constructions based on minorisation and drift conditions. Necessary and sufficient conditions for Central Limit Theorems (CLTs) are also presented, in some cases proved via the Poisson Equation or direct regeneration constructions. Finally, optimal scaling and weak convergence results for MetropolisHastings algorithms are discussed. None of the results presented is new, though many of the proofs are. We also describe some Open Problems.
FixedWidth Output Analysis for Markov Chain Monte Carlo
, 2005
"... Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a metho ..."
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Cited by 88 (29 self)
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Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a method that stops the simulation when the width of a confidence interval based on an ergodic average is less than a userspecified value. Hence calculating a Monte Carlo standard error is a critical step in assessing the simulation output. We consider the regenerative simulation and batch means methods of estimating the variance of the asymptotic normal distribution. We give sufficient conditions for the strong consistency of both methods and investigate their finite sample properties in a variety of examples.
Geometric ergodicity of Metropolis algorithms
 STOCHASTIC PROCESSES AND THEIR APPLICATIONS
, 1998
"... In this paper we derive conditions for geometric ergodicity of the random walkbased Metropolis algorithm on R k . We show that at least exponentially light tails of the target density is a necessity. This extends the onedimensional result of (Mengersen and Tweedie, 1996). For subexponential targe ..."
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Cited by 78 (2 self)
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In this paper we derive conditions for geometric ergodicity of the random walkbased Metropolis algorithm on R k . We show that at least exponentially light tails of the target density is a necessity. This extends the onedimensional result of (Mengersen and Tweedie, 1996). For subexponential target densities we characterize the geometrically ergodic algorithms and we derive a practical sufficient condition which is stable under addition and multiplication. This condition is especially satisfied for the class of densities considered in (Roberts and Tweedie, 1996).
Renewal theory and computable convergence rates for geometrically ergodic Markov chains
, 2003
"... We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and Tweedie, and from estimates using coupling, although we start f ..."
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Cited by 72 (0 self)
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We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and Tweedie, and from estimates using coupling, although we start from essentially the same assumptions of a drift condition toward a “small set. ” The estimates show a noticeable improvement on existing results if the Markov chain is reversible with respect to its stationary distribution, and especially so if the chain is also positive. The method of proof uses the firstentrance– lastexit decomposition, together with new quantitative versions of a result of Kendall from discrete renewal theory. 1. Introduction. Let {Xn:n ≥ 0
On the Markov chain central limit theorem. Probability Surveys
, 2004
"... The goal of this mainly expository paper is to describe conditions which guarantee a central limit theorem for functionals of general state space Markov chains with a view towards Markov chain Monte Carlo settings. Thus the focus is on the connections between drift and mixing conditions and their im ..."
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Cited by 67 (13 self)
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The goal of this mainly expository paper is to describe conditions which guarantee a central limit theorem for functionals of general state space Markov chains with a view towards Markov chain Monte Carlo settings. Thus the focus is on the connections between drift and mixing conditions and their implications. In particular, we consider three commonly cited central limit theorems and discuss their relationship to classical results for mixing processes. Several motivating examples are given which range from toy onedimensional settings to complicated settings encountered in Markov chain Monte Carlo. 1
On the Applicability of Regenerative Simulation in Markov Chain Monte Carlo
, 2001
"... We consider the central limit theorem and the calculation of asymptotic standard errors for the ergodic averages constructed in Markov chain Monte Carlo. Chan & Geyer (1994) established a central limit theorem for ergodic averages by assuming that the underlying Markov chain is geometrically ..."
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Cited by 49 (30 self)
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We consider the central limit theorem and the calculation of asymptotic standard errors for the ergodic averages constructed in Markov chain Monte Carlo. Chan & Geyer (1994) established a central limit theorem for ergodic averages by assuming that the underlying Markov chain is geometrically ergodic and that a simple moment condition is satisfied. While it is relatively straightforward to check Chan and Geyer's conditions, their theorem does not lead to a consistent and easily computed estimate of the variance of the asymptotic normal distribution. Conversely, Mykland, Tierney & Yu (1995) discuss the use of regeneration to establish an alternative central limit theorem with the advantage that a simple, consistent estimate of the asymptotic variance is readily available. However, their result assumes a pair of unwieldy moment conditions whose verification is difficult in practice. In this paper, we show that the conditions of Chan and Geyer's theorem are sucient to establish Mykland, Tierney, and Yu's central limit theorem. This result, in conjunction with other recent developments, should pave the way for more widespread use of the regenerative method in Markov chain Monte Carlo. Our results are applied to the slice sampler for illustration.
Markov Chain Decomposition for Convergence Rate Analysis
"... In this paper we develop tools for analyzing the rate at which a reversible Markov chain converges to stationarity. Our techniques are useful when the Markov chain can be decomposed into pieces which are themselves easier to analyze. The main theorems relate the spectral gap of the original Markov c ..."
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Cited by 46 (9 self)
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In this paper we develop tools for analyzing the rate at which a reversible Markov chain converges to stationarity. Our techniques are useful when the Markov chain can be decomposed into pieces which are themselves easier to analyze. The main theorems relate the spectral gap of the original Markov chains to the spectral gap of the pieces. In the first case the pieces are restrictions of the Markov chain to subsets of the state space; the second case treats a MetropolisHastings chain whose equilibrium distribution is a weighted average of equilibrium distributions of other MetropolisHastings chains on the same state space.
Geometric Ergodicity of Gibbs and Block Gibbs Samplers for a Hierarchical Random Effects Model
, 1998
"... We consider fixed scan Gibbs and block Gibbs samplers for a Bayesian hierarchical random effects model with proper conjugate priors. A drift condition given in Meyn and Tweedie (1993, Chapter 15) is used to show that these Markov chains are geometrically ergodic. Showing that a Gibbs sampler is geom ..."
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Cited by 43 (11 self)
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We consider fixed scan Gibbs and block Gibbs samplers for a Bayesian hierarchical random effects model with proper conjugate priors. A drift condition given in Meyn and Tweedie (1993, Chapter 15) is used to show that these Markov chains are geometrically ergodic. Showing that a Gibbs sampler is geometrically ergodic is the first step towards establishing central limit theorems, which can be used to approximate the error associated with Monte Carlo estimates of posterior quantities of interest. Thus, our results will be of practical interest to researchers using these Gibbs samplers for Bayesian data analysis. Key words and phrases: Bayesian model, Central limit theorem, Drift condition, Markov chain, Monte Carlo, Rate of convergence, Variance Components AMS 1991 subject classifications: Primary 60J27, secondary 62F15 1 Introduction Gelfand and Smith (1990, Section 3.4) introduced the Gibbs sampler for the hierarchical oneway random effects model with proper conjugate priors. Rosen...
Biomolecular Conformations can be Identified as Metastable Sets of Molecular Dynamics
"... This article summarizes the present state of the transfer operator approach to biomolecular conformations with special emphasis on the conceptual and mathematical foundations. ..."
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Cited by 32 (3 self)
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This article summarizes the present state of the transfer operator approach to biomolecular conformations with special emphasis on the conceptual and mathematical foundations.
A theoretical comparison of the data augmentation, marginal augmentation and PXDA algorithms
 The Annals of Statistics
, 2008
"... The data augmentation (DA) algorithm is a widely used Markov chain Monte Carlo (MCMC) algorithm that is based on a Markov transition density of the form p(xx ′ ) = ∫ Y fXY (xy)fY X(yx ′)dy, and fY X are conditional densities. The PXDA and where fXY marginal augmentation algorithms of Liu an ..."
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Cited by 29 (15 self)
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The data augmentation (DA) algorithm is a widely used Markov chain Monte Carlo (MCMC) algorithm that is based on a Markov transition density of the form p(xx ′ ) = ∫ Y fXY (xy)fY X(yx ′)dy, and fY X are conditional densities. The PXDA and where fXY marginal augmentation algorithms of Liu and Wu [J. Amer. Statist. Assoc. 94 (1999) 1264–1274] and Meng and van Dyk [Biometrika 86 (1999) 301–320] are alternatives to DA that often converge much faster and are only slightly more computationally demanding. The transition densities of these alternative algorithms can be written in the form pR(xx ′ ) = ∫ Y Y fXY (xy ′)R(y,dy ′)fY X(yx ′)dy, where R is a Markov transition function on Y. We prove that when R satisfies