Some remarks on MCMC estimation of spectra of integral operators
Probability
2015-09-21 v3
Abstract
We prove a law of large numbers for empirical approximations of the spectrum of a kernel integral operator by the spectrum of random matrices based on a sample drawn from a Markov chain, which complements the results by V. Koltchinskii and E. Gin\'{e} for i.i.d. sequences. In a special case of Mercer's kernels and geometrically ergodic chains, we also provide exponential inequalities, quantifying the speed of convergence.
Keywords
Cite
@article{arxiv.1311.7566,
title = {Some remarks on MCMC estimation of spectra of integral operators},
author = {Radosław Adamczak and Witold Bednorz},
journal= {arXiv preprint arXiv:1311.7566},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.3150/14-BEJ635 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)