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Notes on Using Control Variates for Estimation with Reversible MCMC Samplers

Kontoyiannis, I and Dellaportas, P Notes on Using Control Variates for Estimation with Reversible MCMC Samplers. (Unpublished)

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Abstract

A general methodology is presented for the construction and effective use of control variates for reversible MCMC samplers. The values of the coefficients of the optimal linear combination of the control variates are computed, and adaptive, consistent MCMC estimators are derived for these optimal coefficients. All methodological and asymptotic arguments are rigorously justified. Numerous MCMC simulation examples from Bayesian inference applications demonstrate that the resulting variance reduction can be quite dramatic.

Item Type: Article
Uncontrolled Keywords: stat.CO stat.CO math.PR
Subjects: UNSPECIFIED
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 08 Jan 2018 20:12
Last Modified: 18 Aug 2020 12:42
DOI: