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math.ST2019
Variance reduction for Markov chains with application to MCMC
D. Belomestny, L. Iosipoi, E. Moulines +2
In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these fun…
stat.CO2019
Fourier transform MCMC, heavy tailed distributions and geometric ergodicity
Denis Belomestny, Leonid Iosipoi
Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions.…