A vanilla Rao--Blackwellization of Metropolis--Hastings algorithms [PDF]
, 2011 Casella and Robert [Biometrika 83 (1996) 81--94] presented a general Rao--Blackwellization principle for accept-reject and Metropolis--Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in
Douc, Randal, Robert, Christian P.
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Quantitative convergence rates for sub-geometric Markov chains [PDF]
, 2014 We provide explicit expressions for the constants involved in the characterisation of ergodicity of sub-geometric Markov chains. The constants are determined in terms of those appearing in the assumed drift and one-step minorisation conditions.
Andrieu, Christophe +2 more
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A System of Multivariable Krawtchouk Polynomials and a Probabilistic Application [PDF]
, 2011 The one variable Krawtchouk polynomials, a special case of the $_2F_1$ function did appear in the spectral representation of the transition kernel for a Markov chain studied a long time ago by M. Hoare and M. Rahman.
Grünbaum, F. Alberto, Rahman, Mizan
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Stationarity and geometric ergodicity of a class of nonlinear ARCH models [PDF]
, 2006 A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and $\beta$-mixing solution is established under a mild assumption on the density of the underlying independent process.
Sa\"{ı}di, Youssef +1 more
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Iterated function systems with a given continuous stationary distribution
, 2012 For any continuous probability measure $\mu$ on ${\mathbb R}$ we construct an IFS with probabilities having $\mu$ as its unique measure-attractor.Comment: 7 pages, 3 ...
Barnsley M. F. +3 more
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Stability in Distribution of Randomly Perturbed Quadratic Maps as Markov Processes
, 2005 Iteration of randomly chosen quadratic maps defines a Markov process: X_{n+1}=\epsilon_{n+1}X_n(1-X_n), where \epsilon_n are i.i.d. with values in the parameter space [0,4] of quadratic maps F_{\theta}(x)=\theta x(1-x). Its study is of significance as an
Bhattacharya, Rabi, Majumdar, Mukul
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Central Limit Theorem for Random Dynamical System with Jumps and State-Dependent Jump Intensity
Annales Mathematicae SilesianaeIn this work we focus on a dynamical system with jumps, where the intensity of the jumps depends on the system's state. By verifying the assumptions of the theorem from [4], we show that our model satisfies the central limit theorem.
Kubieniec Joanna
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Recurrence of random walk traces
, 2005 We show that the edges crossed by a random walk in a network form a recurrent graph a.s. In fact, the same is true when those edges are weighted by the number of crossings.Comment: Published at http://dx.doi.org/10.1214/009117906000000935 in the Annals
Benjamini, Itai +2 more
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Cesaro mean distribution of group automata starting from measures with summable decay
, 1999 Consider a finite Abelian group (G,+), with |G|=p^r, p a prime number, and F: G^N -> G^N the cellular automaton given by {F(x)}_n= A x_n + B x_{n+1} for any n in N, where A and B are integers relatively primes to p.
Ferrari, Pablo A. +3 more
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T. E. Harris's contributions to recurrent Markov processes and stochastic flows
, 2011 This is a brief survey of T. E. Harris's work on recurrent Markov processes and on stochastic flows, and of some more recent work in these fields.Comment: Published in at http://dx.doi.org/10.1214/10-AOP594 the Annals of Probability (http://www.imstat ...
Baxendale, Peter
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