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Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance

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  • Franks, Jordan
  • Vihola, Matti

Abstract

We establish an ordering criterion for the asymptotic variances of two consistent Markov chain Monte Carlo (MCMC) estimators: an importance sampling (IS) estimator, based on an approximate reversible chain and subsequent IS weighting, and a standard MCMC estimator, based on an exact reversible chain. Essentially, we relax the criterion of the Peskun type covariance ordering by considering two different invariant probabilities, and obtain, in place of a strict ordering of asymptotic variances, a bound of the asymptotic variance of IS by that of the direct MCMC. Simple examples show that IS can have arbitrarily better or worse asymptotic variance than Metropolis–Hastings and delayed-acceptance (DA) MCMC. Our ordering implies that IS is guaranteed to be competitive up to a factor depending on the supremum of the (marginal) IS weight. We elaborate upon the criterion in case of unbiased estimators as part of an auxiliary variable framework. We show how the criterion implies asymptotic variance guarantees for IS in terms of pseudo-marginal (PM) and DA corrections, essentially if the ratio of exact and approximate likelihoods is bounded. We also show that convergence of the IS chain can be less affected by unbounded high-variance unbiased estimators than PM and DA chains.

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  • Franks, Jordan & Vihola, Matti, 2020. "Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6157-6183.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:10:p:6157-6183
    DOI: 10.1016/j.spa.2020.05.006
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    References listed on IDEAS

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    1. Panos Parpas & Berk Ustun & Mort Webster & Quang Kha Tran, 2015. "Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach," INFORMS Journal on Computing, INFORMS, vol. 27(2), pages 358-377, May.
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    5. repec:dau:papers:123456789/3578 is not listed on IDEAS
    6. Chris Sherlock & Alexandre H. Thiery & Anthony Lee, 2017. "Pseudo-marginal Metropolis–Hastings sampling using averages of unbiased estimators," Biometrika, Biometrika Trust, vol. 104(3), pages 727-734.
    7. C. Andrieu, 2016. "On random- and systematic-scan samplers," Biometrika, Biometrika Trust, vol. 103(3), pages 719-726.
    8. A. Doucet & M. K. Pitt & G. Deligiannidis & R. Kohn, 2015. "Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator," Biometrika, Biometrika Trust, vol. 102(2), pages 295-313.
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    Cited by:

    1. Chris Sherlock & Anthony Lee, 2022. "Variance Bounding of Delayed-Acceptance Kernels," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2237-2260, September.

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