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Ergodic Central limit theorem for subgeometric Markov chains
Miha Brešar, Aleksandar Mijatović, Gareth Roberts
We establish verifiable necessary conditions for central limit theorems (CLTs) of ergodic averages of Markov chains on general state spaces. Our criteria are based on discrete-time…
Transient regime of piecewise deterministic Monte Carlo algorithms
Sanket Agrawal, Joris Bierkens, Kengo Kamatani +1
Piecewise Deterministic Markov Processes (PDMPs) such as the Bouncy Particle Sampler and the Zig-Zag Sampler, have gained attention as continuous-time counterparts of classical Mar…
Non-centering for discrete-valued state transition models: an application to ESBL-producing E. coli transmission in Malawi
James Neill, Rebecca Lester, Winnie Bakali +4
Infectious disease transmission is often modelled by discrete-valued stochastic state-transition processes. Due to a lack of complete data, Bayesian inference for these models ofte…
Exact Bayesian inference for Markov switching diffusions
Timothée Stumpf-Fétizon, Krzysztof Łatuszyński, Jan Palczewski +1
We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusio…