Limit Theory for Spatial Processes, Bootstrap Quantile Variance Estimators, and Efficiency Measures for Markov Chain Monte Carlo
By: Xuan Yang
Publisher: [publisher not identified]
Published: 2014
Place of publication: [New York, N.Y.?]
Language: eng
Description: This thesis contains three topics: (I) limit theory for spatial processes, (II) asymptotic results on the bootstrap quantile variance estimator for importance sampling, and (III) an efficiency measure of MCMC. (I) First, central limit theorems are obtained for sums of observations from a $\kappa$-weakly dependent random field. In particular, it is considered that the observations are made from a random field at irregularly spaced and possibly random locations. The sums of these samples as well as sums of functions of pairs of the observations are objects of interest; the latter has applications in covariance estimation, composite likelihood estimation, etc. Moreover, examples of $\kappa$-weakly dependent random fields are explored and a method for the evaluation of $\kappa$-coefficients is presented. Next, statistical inference is considered for the stochastic heteroscedastic processes (SHP) which generalize the stochastic volatility time series model to space. A composite likelihood approach is adopted for parameter estimation, where the composite likelihood function is formed by a weighted sum of pairwise log-likelihood functions.

In addition, the observations sites are assumed to distributed according to a spatial point process. Sufficient conditions are provided for the maximum composite likelihood estimator to be consistent and asymptotically normal. (II) It is often difficult to provide an accurate estimation for the variance of the weighted sample quantile. Its asymptotic approximation requires the value of the density function which may be hard to evaluate in complex systems. To circumvent this problem, the bootstrap estimator is considered. Theoretical results are established for the exact convergence rate and asymptotic distributions of the bootstrap variance estimators for quantiles of weighted empirical distributions. Under regularity conditions, it is shown that the bootstrap variance estimator is asymptotically normal and has relative standard deviation of order O(n^-1/4) (III) A new performance measure is proposed to evaluate the efficiency of Markov chain Monte Carlo (MCMC) algorithms. More precisely, the large deviations rate of the probability that the Monte Carlo estimator deviates from the true by a certain distance is used as a measure of efficiency of a particular MCMC algorithm.

Numerical methods are proposed for the computation of the rate function based on samples of the renewal cycles of the Markov chain. Furthermore the efficiency measure is applied to an array of MCMC schemes to determine their optimal tuning parameters.
Notes: Department: Statistics.

Thesis advisor: Jingchen Liu.

Thesis (Ph.D.)--Columbia University, 2014.