A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Methods
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 distr...
| Автори: | , , |
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| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
2009
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| Резюме: | 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. |
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