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• W2287451608 abstract "This paper defines an approximation scheme for a solution of the Poisson equation of a geometrically ergodic Metropolis-Hastings chain $Phi$. The approximations give rise to a natural sequence of control variates for the ergodic average $S_k(F)=(1/k)sum_{i=1}^{k} F(Phi_i)$, where $F$ is the force function in the Poisson equation. The main result of the paper shows that the sequence of the asymptotic variances (in the CLTs for the control-variate estimators) converges to zero and gives a rate of this convergence. Numerical examples in the case of a double-well potential are discussed." @default.
• W2287451608 created "2016-06-24" @default.
• W2287451608 creator A5001262463 @default.
• W2287451608 creator A5089033775 @default.
• W2287451608 date "2015-11-23" @default.
• W2287451608 modified "2023-09-23" @default.
• W2287451608 title "On the Poisson equation for Metropolis-Hastings chains" @default.
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