Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators

Details Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators

2012-04-11

arxiv.org/abs/1204.2382v1

Mathematics

Probability

Scientific paper

We provide a generic way of deducing non-asymptotic error bounds for Sequential MCMC methods from suitable stability properties of Feynman-Kac propagators. We show how to derive this type of stability from mixing conditions for the MCMC dynamics, namely, spectral gaps and hyperboundedness, and from upper bounds on the relative densities in the sequence of distributions.

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