Reversibility of elliptical slice sampling revisited
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866913342059184128 |
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| author | Hasenpflug, Mareike Telezhnikov, Viacheslav Rudolf, Daniel |
| author_facet | Hasenpflug, Mareike Telezhnikov, Viacheslav Rudolf, Daniel |
| contents | We extend elliptical slice sampling, a Markov chain transition kernel suggested in Murray, Adams and MacKay 2010, to infinite-dimensional separable Hilbert spaces and discuss its well-definedness. We point to a regularity requirement, provide an alternative proof of the desirable reversibility property and show that it induces a positive semi-definite Markov operator. Crucial within the proof of the formerly mentioned results is the analysis of a shrinkage Markov chain that may be interesting on its own. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2301_02426 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Reversibility of elliptical slice sampling revisited Hasenpflug, Mareike Telezhnikov, Viacheslav Rudolf, Daniel Statistics Theory Machine Learning Computation 65C40, 60J22, 65C05 We extend elliptical slice sampling, a Markov chain transition kernel suggested in Murray, Adams and MacKay 2010, to infinite-dimensional separable Hilbert spaces and discuss its well-definedness. We point to a regularity requirement, provide an alternative proof of the desirable reversibility property and show that it induces a positive semi-definite Markov operator. Crucial within the proof of the formerly mentioned results is the analysis of a shrinkage Markov chain that may be interesting on its own. |
| title | Reversibility of elliptical slice sampling revisited |
| topic | Statistics Theory Machine Learning Computation 65C40, 60J22, 65C05 |
| url | https://arxiv.org/abs/2301.02426 |