Journal article
Theoretical properties of quasi-stationary Monte Carlo methods
- Abstract:
- This paper gives foundational results for the application of quasi-stationarity to Monte Carlo inference problems. We prove natural sufficient conditions for the quasi-limiting distribution of a killed diffusion to coincide with a target density of interest. We also quantify the rate of convergence to quasi-stationarity by relating the killed diffusion to an appropriate Langevin diffusion. As an example, we consider in detail a killed Ornstein–Uhlenbeck process with Gaussian quasi-stationary distribution.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
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-
(Preview, Accepted manuscript, pdf, 417.4KB, Terms of use)
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- Publisher copy:
- 10.1214/18-AAP1422
Authors
+ Engineering and Physical Sciences Research Council
More from this funder
- Funding agency for:
- Wang, A
- Roberts, G
- Grant:
- EP/L016710/1
- EP/D002060/1
- Publisher:
- Institute of Mathematical Statistics
- Journal:
- Annals of Applied Probability More from this journal
- Volume:
- 29
- Issue:
- 1
- Pages:
- 434-457
- Publication date:
- 2018-12-05
- Acceptance date:
- 2018-08-17
- DOI:
- ISSN:
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1050-5164
- Pubs id:
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pubs:909557
- UUID:
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uuid:bf7fa782-025a-4649-b527-ce7603b5d315
- Local pid:
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pubs:909557
- Source identifiers:
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909557
- Deposit date:
-
2018-11-07
Terms of use
- Copyright holder:
- Institute of Mathematical Statistics
- Copyright date:
- 2018
- Notes:
- © Institute of Mathematical Statistics, 2019. This is the author accepted manuscript following peer review version of the article. The final version is available online from Institute of Mathematical Statistics at: 10.1214/18-AAP1422
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