Improving efficiency of data augmentation algorithms using Peskun’s theorem

Vivekananda Roy ()
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Vivekananda Roy: Iowa State University

Computational Statistics, 2016, vol. 31, issue 2, No 15, 709-728

Abstract: Abstract Data augmentation (DA) algorithm is a widely used Markov chain Monte Carlo algorithm. In this paper, an alternative to DA algorithm is proposed. It is shown that the modified Markov chain is always more efficient than DA in the sense that the asymptotic variance in the central limit theorem under the alternative chain is no larger than that under DA. The modification is based on Peskun’s (Biometrika 60:607–612, 1973) result which shows that asymptotic variance of time average estimators based on a finite state space reversible Markov chain does not increase if the Markov chain is altered by increasing all off-diagonal probabilities. In the special case when the state space or the augmentation space of the DA chain is finite, it is shown that Liu’s (Biometrika 83:681–682, 1996) modified sampler can be used to improve upon the DA algorithm. Two illustrative examples, namely the beta-binomial distribution, and a model for analyzing rank data are used to show the gains in efficiency by the proposed algorithms.

Keywords: Modified data augmentation; Efficiency ordering; MCMC; Peskun ordering; Rao Blackwellization (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00180-015-0632-4

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