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arXiv · 1711.05382

Error bounds for Approximations of Markov chains used in Bayesian Sampling

James E. Johndrow·Jonathan C. Mattingly
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Abstract

We give a number of results on approximations of Markov kernels in total variation and Wasserstein norms weighted by a Lyapunov function. The results are applied to examples from Bayesian statistics where approximations to transition kernels are made to reduce computational costs.

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James E. Johndrow, Jonathan C. Mattingly. 2017-11-15. Error bounds for Approximations of Markov chains used in Bayesian Sampling. https://arxiv.org/abs/1711.05382

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