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Nonasymptotic bounds on the estimation error of MCMC algorithms
Mean square error Computable bounds
2011/7/6
We address the problem of upper bounding the mean square error of MCMC estimators. Our analysis is non-asymptotic.
This paper surveys various results about Markov chains on general (non-countable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivati...
On the efficiency of adaptive MCMC algorithms
MCMC process asymptotic properties MCMC algorithms
2009/3/30
We study a class of adaptive Markov Chain Monte Carlo (MCMC) processes which aim at behaving as an ``optimal'' target process via a learning procedure. We show, under appropriate conditions, that the ...