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Discrete-time Poincaré inequality for a Markov kernel
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Mathematics
Area of mathematics
Probability and statistics
Statistical inference
Bayesian statistics
Markov chain Monte Carlo
2026-09-28
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For
a
reversible kernel
K
, the inequality
Var
π
(
f
)
≤
C
E
K
2
(
f
)
is equivalent to geometric contraction of
variance
under
iteration
of
K
.
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Markov chain Monte Carlo
Bayesian statistics
Statistical inference
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2023
/
iii
/
Paper 216
/
3
/
d
/
Solution
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