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Ergodicity of the zigzag process. (English) Zbl 07120709
Summary: The zigzag process is a piecewise deterministic Markov process which can be used in a MCMC framework to sample from a given target distribution. We prove the convergence of this process to its target under very weak assumptions, and establish a central limit theorem for empirical averages under stronger assumptions on the decay of the target measure. We use the classical “Meyn-Tweedie” approach (Markov Chains and Stochastic Stability (2009) Cambridge Univ. Press; Adv. in Appl. Probab.25 (1993) 487–517). The main difficulty turns out to be the proof that the process can indeed reach all the points in the space, even if we consider the minimal switching rates.

60F05 Central limit and other weak theorems
65C05 Monte Carlo methods
Full Text: DOI Euclid
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