A Riemannian-Stein Kernel method
File(s)1810.04946v2.pdf (1.21 MB)
Working paper
Author(s)
Barp, Alessandro
Oates, Chris J
Porcu, Emilio
Girolami, Mark
Type
Working Paper
Abstract
This paper presents a theoretical analysis of numerical integration based on
interpolation with a Stein kernel. In particular, the case of integrals with
respect to a posterior distribution supported on a general Riemannian manifold
is considered and the asymptotic convergence of the estimator in this context
is established. Our results are considerably stronger than those previously
reported, in that the optimal rate of convergence is established under a basic
Sobolev-type assumption on the integrand. The theoretical results are
empirically verified on $\mathbb{S}^2$.
interpolation with a Stein kernel. In particular, the case of integrals with
respect to a posterior distribution supported on a general Riemannian manifold
is considered and the asymptotic convergence of the estimator in this context
is established. Our results are considerably stronger than those previously
reported, in that the optimal rate of convergence is established under a basic
Sobolev-type assumption on the integrand. The theoretical results are
empirically verified on $\mathbb{S}^2$.
Date Issued
2018-10-14
Citation
2018
Identifier
http://arxiv.org/abs/1810.04946v2
Subjects
math.ST
math.ST
stat.TH