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CLTs and asymptotic variance of time-sampled Markov chains
time-sampled Markov chains Barker’s algo-rithm Metropolis algorithm Central Limit Theorem asymptotic variance variance bounding Markov chains MCMC estimation
2011/3/25
For a Markov transition kernel $P$ and a probability distribution $ \mu$ on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel $P_{\mu} = \sum_k \mu(k)P^k.$ I...