Estimates and standard errors for ratios of normalizing constants from multiple Markov chains via regeneration
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 2014 · Volume 76 · Issue 4
Abstract
In the classical biased sampling problem, we havekdensities…, each known up to a normalizing constant, i.e., forl=1, …,k,, whereis a known function andis an unknown constant. For eachl, we have an independent and identically distributed sample from, and the problem is to estimate the ratiosfor allland alls. This problem arises frequently in several situations in both frequentist and Bayesian inference. An estimate of the ratios was developed and studied by Vardi and his co-workers over two decades ago, and there has been much subsequent work on this problem from many perspectives. In spite of this, there are no rigorous results in the literature on how to estimate the standard error of the estimate. We present a class of estimates of the ratios of normalizing constants that are appropriate for the case where the samples from thes are not necessarily independent and identically distributed sequences but are Markov chains. We also develop an approach based on regenerative simulation for obtaining standard errors for the estimates of ratios of normalizing constants. These standard error estimates are valid for both the independent and identically distributed samples case and the Markov chain case.
Keywords
Geometric ergodicity, Importance sampling, Markov chain Monte Carlo methods, Ratios of normalizing constants, Regenerative simulation, Standard errors
Enable JavaScript for citation tools and additional paper interactions.