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A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Methods

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1.	Title	Title of document	A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Methods
2.	Creator	Author's name, affiliation, country	Bernard Bercu; Université de Bordeaux; France
2.	Creator	Author's name, affiliation, country	Pierre Del Moral; INRIA et Université de Bordeaux; France
2.	Creator	Author's name, affiliation, country	Arnaud Doucet; University of British Columbia; Canada
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Multivariate and functional central limit theorems, random fields, martingale limit theorems, self-interacting Markov chains, Markov chain Monte Carlo methods, Feynman-Kac semigroups
3.	Subject	Subject classification	60F05, 60J05, 60J20, 68U20, 80M31
4.	Description	Abstract	We present a functional central limit theorem for a new class of interacting Markov chain Monte Carlo algorithms. These stochastic algorithms have been recently introduced to solve non-linear measure-valued equations. We provide an original theoretical analysis based on semigroup techniques on distribution spaces and fluctuation theorems for self-interacting random fields. Additionally we also present a series of sharp mean error bounds in terms of the semigroup associated with the first order expansion of the limiting measure-valued process. We illustrate our results in the context of Feynman-Kac semigroups
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2009-10-04
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/701
10.	Identifier	Digital Object Identifier	10.1214/EJP.v14-701
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 14
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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