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Perturbation bounds for Monte Carlo within Metropolis via restricted approximations
The Monte Carlo within Metropolis (MCwM) algorithm, interpreted as a perturbed Metropolis–Hastings (MH) algorithm, provides an approach for approximate sampling when the target distribution is intractable. Assuming the unperturbed Markov chain is geometrically ergodic, we show explicit estimates of...
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| Udgivet i: | Stoch Process Their Appl |
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| Main Authors: | , , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Elsevier
2020
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7074005/ https://ncbi.nlm.nih.gov/pubmed/32255890 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.spa.2019.06.015 |
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