A minimax analysis identifies the optimal importance-sampling proposal for atomic targets, and an exact uniform ergodicity criterion is proved for importance-tempered random-walk Metropolis on polynomial-tail targets.
Computational approaches for empirical Bayes methods and Bayesian sensitivity analysis
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From Minimax Optimal Importance Sampling to Uniformly Ergodic Importance-tempered MCMC
A minimax analysis identifies the optimal importance-sampling proposal for atomic targets, and an exact uniform ergodicity criterion is proved for importance-tempered random-walk Metropolis on polynomial-tail targets.