Related papers: An asymptotic Peskun ordering and its application …
Lifted samplers form a class of Markov chain Monte Carlo methods which has drawn a lot attention in recent years due to superior performance in challenging Bayesian applications. A canonical example of lifted samplers is the one that is…
We establish an ordering criterion for the asymptotic variances of two consistent Markov chain Monte Carlo (MCMC) estimators: an importance sampling (IS) estimator, based on an approximate reversible chain and subsequent IS weighting, and a…
Convex combinations of i.i.d. random variables without a finite mean can behave in a strikingly different way from the finite-mean case: as the weight vector becomes more balanced, the resulting combination may become stochastically larger,…
Markov chain Monte Carlo algorithms are invaluable tools for exploring stationary properties of physical systems, especially in situations where direct sampling is unfeasible. Common implementations of Monte Carlo algorithms employ…
I show how any reversible Markov chain on a finite state space that is irreducible, and hence suitable for estimating expectations with respect to its invariant distribution, can be used to construct a non-reversible Markov chain on a…
We describe a general strategy for sampling configurations from a given distribution, NOT based on the standard Metropolis (Markov chain) strategy. It uses the fact that nontrivial problems in statistical physics are high dimensional and…
In this paper we study asymptotic properties of different data-augmentation-type Markov chain Monte Carlo algorithms sampling from mixture models comprising discrete as well as continuous random variables. Of particular interest to us is…
Exact approximations of Markov chain Monte Carlo (MCMC) algorithms are a general emerging class of sampling algorithms. One of the main ideas behind exact approximations consists of replacing intractable quantities required to run standard…
We present a new statistical test to detect that a presented state of a reversible Markov chain was not chosen from a stationary distribution. In particular, given a value function for the states of the Markov chain, we would like to…
State space models have long played an important role in signal processing. The Gaussian case can be treated algorithmically using the famous Kalman filter. Similarly since the 1970s there has been extensive application of Hidden Markov…
In the last decade, sequential Monte-Carlo methods (SMC) emerged as a key tool in computational statistics. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted…
Comparisons of different treatments or production processes are the goals of a significant fraction of applied research. Unsurprisingly, two-sample problems play a main role in Statistics through natural questions such as `Is the the new…
We describe a general strategy for sampling configurations from a given (Gibbs-Boltzmann or other) distribution. It is {\it not} based on the Metropolis concept of establishing a Markov process whose stationary state is the wanted…
Graded posets frequently arise throughout combinatorics, where it is natural to try to count the number of elements of a fixed rank. These counting problems are often $\#\textbf{P}$-complete, so we consider approximation algorithms for…
Let $G$ be a finite group and let $H$ be a subgroup of $G$. The left-invariant random walk driven by a probability measure $w$ on $G$ is the Markov chain in which from any state $x \in G$, the probability of stepping to $xg \in G$ is…
We show that a family of random variables is uniformly integrable if and only if it is stochastically bounded in the increasing convex order by an integrable random variable. This result is complemented by proving analogous statements for…
Nested sampling is a simulation method for approximating marginal likelihoods proposed by Skilling (2006). We establish that nested sampling has an approximation error that vanishes at the standard Monte Carlo rate and that this error is…
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in…
We study the usual stochastic order between probability measures on preordered topological abelian groups, focusing on asymptotic and catalytic versions of the order. In the asymptotic version, a measure $\mu$ dominates a measure $\nu$ if…
Markov chain Monte Carlo methods are often deemed too computationally intensive to be of any practical use for big data applications, and in particular for inference on datasets containing a large number $n$ of individual data points, also…