The Annals of Applied Probability

Which ergodic averages have finite asymptotic variance?

George Deligiannidis and Anthony Lee

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Abstract

We show that the class of $L^{2}$ functions for which ergodic averages of a reversible Markov chain have finite asymptotic variance is determined by the class of $L^{2}$ functions for which ergodic averages of its associated jump chain have finite asymptotic variance. This allows us to characterize completely which ergodic averages have finite asymptotic variance when the Markov chain is an independence sampler. From a practical perspective, the most important result identifies a simple sufficient condition for all ergodic averages of $L^{2}$ functions of the primary variable in a pseudo-marginal Markov chain to have finite asymptotic variance.

Article information

Source
Ann. Appl. Probab., Volume 28, Number 4 (2018), 2309-2334.

Dates
Received: July 2016
Revised: May 2017
First available in Project Euclid: 9 August 2018

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1533780274

Digital Object Identifier
doi:10.1214/17-AAP1358

Mathematical Reviews number (MathSciNet)
MR3843830

Zentralblatt MATH identifier
06974752

Subjects
Primary: 60J05: Discrete-time Markov processes on general state spaces 60J22: Computational methods in Markov chains [See also 65C40] 60F05: Central limit and other weak theorems 65C40: Computational Markov chains

Keywords
Markov chain Monte Carlo asymptotic variance jump chain independent Metropolis–Hastings pseudo-marginal method

Citation

Deligiannidis, George; Lee, Anthony. Which ergodic averages have finite asymptotic variance?. Ann. Appl. Probab. 28 (2018), no. 4, 2309--2334. doi:10.1214/17-AAP1358. https://projecteuclid.org/euclid.aoap/1533780274


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