Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques

Krzysztof Latuszynski, Blazej Miasojedow, Wojciech Niemiro

The Nummellin's split chain construction allows to decompose a Markov chain Monte Carlo (MCMC) trajectory into i.i.d. "excursions". RegenerativeMCMC algorithms based on this techni…