Theoretical properties of quasi-stationary Monte Carlo methods
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...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Institute of Mathematical Statistics
2018
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