Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
Franks, J., & Vihola, M. (2020). Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance. Stochastic Processes and Their Applications, 130(10), 6157-6183. https://doi.org/10.1016/j.spa.2020.05.006
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Stochastic Processes and Their ApplicationsDate
2020Copyright
© 2020 Elsevier BV
We establish an ordering criterion for the asymptotic variances of two consistent Markov chain Monte Carlo (MCMC) estimators: an importance sampling (IS) estimator, based on an approximate reversible chain and subsequent IS weighting, and a standard MCMC estimator, based on an exact reversible chain. Essentially, we relax the criterion of the Peskun type covariance ordering by considering two different invariant probabilities, and obtain, in place of a strict ordering of asymptotic variances, a bound of the asymptotic variance of IS by that of the direct MCMC. Simple examples show that IS can have arbitrarily better or worse asymptotic variance than Metropolis–Hastings and delayed-acceptance (DA) MCMC. Our ordering implies that IS is guaranteed to be competitive up to a factor depending on the supremum of the (marginal) IS weight. We elaborate upon the criterion in case of unbiased estimators as part of an auxiliary variable framework. We show how the criterion implies asymptotic variance guarantees for IS in terms of pseudo-marginal (PM) and DA corrections, essentially if the ratio of exact and approximate likelihoods is bounded. We also show that convergence of the IS chain can be less affected by unbounded high-variance unbiased estimators than PM and DA chains.
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https://converis.jyu.fi/converis/portal/detail/Publication/35699370
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Research Council of FinlandFunding program(s)
Academy Research Fellow, AoF; Research costs of Academy Research Fellow, AoFAdditional information about funding
Support has been provided for JF and MV from the Academy of Finland (grants 274740, 284513 and 312605), and for JF from The Alan Turing Institute. JF thanks the organisers of the 2017 SMC course and workshop in Uppsala.License
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