相关论文: Geometric Ergodicity and Perfect Simulation

We describe a new algorithm for the perfect simulation of variable length Markov chains and random systems with perfect connections. This algorithm, which generalizes Propp and Wilson's simulation scheme, is based on the idea of coupling…

This paper gathers together different conditions which are all equivalent to geometric ergodicity of time-homogeneous Markov chains on general state spaces. A total of 34 different conditions are presented (27 for general chains plus 7 just…

This article studies the convergence properties of trans-dimensional MCMC algorithms when the total number of models is finite. It is shown that, for reversible and some non-reversible trans-dimensional Markov chains, under mild conditions,…

This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140--151], which showed that perfect simulation, in the form of dominated coupling from the past, is always possible (although not necessarily practical) for…

In this short note we prove ``effective" geometric ergodicity (i.e a Perron-Frobenius theorem) for Markov chains in random mixing dynamical environment satisfying a random non-uniform version of the Doeblin condition. Effectivity here means…

Ergodicity is a fundamental issue for a stochastic process. In this paper, we refine results on ergodicity for a general type of Markov chain to a specific type or the $GI/G/1$-type Markov chain, which has many interesting and important…

We provide an extension of the perfect sampling algorithm of Fill (1998) to general chains, and describe how use of bounding processes can ease computational burden. Along the way, we unearth a simple connection between the Coupling From…

For Bayesian learning, given likelihood function and Gaussian prior, the elliptical slice sampler, introduced by Murray, Adams and MacKay 2010, provides a tool for the construction of a Markov chain for approximate sampling of the…

In this paper we establish the ergodicity of Langevin dynamics for simple two-particle system involving a Lennard-Jones type potential. To the best of our knowledge, this is the first such result for a system operating under this type of…

The goal of this paper is to give a short and self contained proof of general bounds for subgeometric rates of convergence, under practical conditions. The main result whose proof, based on coupling, provides an intuitive understanding of…

We consider Gibbs samplers for a normal linear regression model with a global-local shrinkage prior and show that they produce geometrically ergodic Markov chains. First, under the horseshoe local prior and a three-parameter beta global…

A Markov chain is geometrically ergodic if it converges to its in- variant distribution at a geometric rate in total variation norm. We study geo- metric ergodicity of deterministic and random scan versions of the two-variable Gibbs…

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…

The Bayesian probit regression model (Albert and Chib (1993)) is popular and widely used for binary regression. While the improper flat prior for the regression coefficients is an appropriate choice in the absence of any prior information,…

Dependence coefficients have been widely studied for Markov processes defined by a set of transition probabilities and an initial distribution. This work clarifies some aspects of the theory of dependence structure of Markov chains…

We study a simple Markov chain, the switch chain, on the set of all perfect matchings in a bipartite graph. This Markov chain was proposed by Diaconis, Graham and Holmes as a possible approach to a sampling problem arising in Statistics. We…

Let $(\xi_n)_{n=0}^\infty$ be a nonhomogeneous Markov chain taking values from finite state-space of $\mathbf{X}=\{1,2,\ldots,b\}$. In this paper, we will study the generalized entropy ergodic theorem with almost-everywhere and…

The aim of this note is to present an elementary proof of a variation of Harris' ergodic theorem of Markov chains. This theorem, dating back to the fifties essentially states that a Markov chain is uniquely ergodic if it admits a ``small''…

In this article, we consider the weighted ergodic optimization problem of a class of dynamical systems $T:X\to X$ where $X$ is a compact metric space and $T$ is Lipschitz continuous. We show that once $T:X\to X$ satisfies both the {\em…

We study the convergence properties of a collapsed Gibbs sampler for Bayesian vector autoregressions with predictors, or exogenous variables. The Markov chain generated by our algorithm is shown to be geometrically ergodic regardless of…