Variance reduction for Markov chains with application to MCMC.

Denis Belomestny Leonid Iosipoi Eric Moulines Alexey Naumov Sergey Samsonov

Published in: Stat. Comput. (2020)

Keyphrases

markov chain
monte carlo
variance reduction
importance sampling
random numbers
finite state
confidence intervals
transition probabilities
random walk
monte carlo method
markov processes
state space
markov chain monte carlo
prior knowledge
transition matrix
uniformly distributed
upper bound