Variance reduction for Markov chains with application to MCMC - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Statistics and Computing Year : 2020

Variance reduction for Markov chains with application to MCMC

Abstract

In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates. A distinctive feature of the proposed approach is its ability to significantly reduce the overall finite sample variance. This feature is theoretically demonstrated by means of a deep non asymptotic analysis of a variance reduced functional as well as by a thorough simulation study. In particular we apply our method to various MCMC Bayesian estimation problems where it favourably compares to the existing variance reduction approaches.
Fichier principal
Vignette du fichier
Variance reduction for Markov chains with application to MCMC.pdf (1.37 Mo) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-03033158 , version 1 (01-12-2020)

Identifiers

  • HAL Id : hal-03033158 , version 1

Cite

D Belomestny, L Iosipoi, E Moulines, A Naumov, S Samsonov. Variance reduction for Markov chains with application to MCMC. Statistics and Computing, 2020. ⟨hal-03033158⟩
34 View
294 Download

Share

Gmail Facebook X LinkedIn More