| Título: | A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Methods |
| Autores: |
Bercu, Bernard; Université de Bordeaux Del Moral, Pierre; INRIA et Université de Bordeaux Doucet, Arnaud; University of British Columbia |
| Fecha: | 2009-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Multivariate and functional central limit theorems, random fields, martingale limit theorems, self-interacting Markov chains, Markov chain Monte Carlo methods, Feynman-Kac semigroups 60F05, 60J05, 60J20, 68U20, 80M31 |
| Descripción: | We present a functional central limit theorem for a new class of interacting Markov chain Monte Carlo algorithms. These stochastic algorithms have been recently introduced to solve non-linear measure-valued equations. We provide an original theoretical analysis based on semigroup techniques on distribution spaces and fluctuation theorems for self-interacting random fields. Additionally we also present a series of sharp mean error bounds in terms of the semigroup associated with the first order expansion of the limiting measure-valued process. We illustrate our results in the context of Feynman-Kac semigroups |
| Idioma: | No aplica |
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