Multivariate strong invariance principles in Markov chain Monte Carlo
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2022
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| _version_ | 1866910907665219584 |
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| author | Banerjee, Arka Vats, Dootika |
| author_facet | Banerjee, Arka Vats, Dootika |
| contents | Strong invariance principles in Markov chain Monte Carlo are crucial to theoretically grounded output analysis. Using the wide-sense regenerative nature of the process, we obtain explicit bounds in the strong invariance converging rates for partial sums of multivariate ergodic Markov chains. Consequently, we present results on the existence of strong invariance principles for both polynomially and geometrically ergodic Markov chains without requiring a 1-step minorization condition. Our tight and explicit rates have a direct impact on output analysis, as it allows the verification of important conditions in the strong consistency of certain variance estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2211_06855 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Multivariate strong invariance principles in Markov chain Monte Carlo Banerjee, Arka Vats, Dootika Computation Probability Statistics Theory Strong invariance principles in Markov chain Monte Carlo are crucial to theoretically grounded output analysis. Using the wide-sense regenerative nature of the process, we obtain explicit bounds in the strong invariance converging rates for partial sums of multivariate ergodic Markov chains. Consequently, we present results on the existence of strong invariance principles for both polynomially and geometrically ergodic Markov chains without requiring a 1-step minorization condition. Our tight and explicit rates have a direct impact on output analysis, as it allows the verification of important conditions in the strong consistency of certain variance estimators. |
| title | Multivariate strong invariance principles in Markov chain Monte Carlo |
| topic | Computation Probability Statistics Theory |
| url | https://arxiv.org/abs/2211.06855 |