Limit theorems for the Zig-Zag process

Abstract: Markov chain Monte Carlo methods provide an essential tool in statistics for sampling from complex probability distributions. While the standard approach to MCMC involves constructing discrete-time reversible Markov chains whose transition kernel is obtained via the Metropolis- Hastings algorithm, there has been recent interest in alternative schemes based on piecewise deterministic Markov processes (PDMPs). One such approach is based on the Zig-Zag process, introduced in Bierkens and Roberts (2016), which proved to provide a highly scalable sampling scheme for sampling in the big data regime (Bierkens, Fearnhead and Roberts (2016)). In this paper we study the performance of the Zig-Zag sampler, focusing on the one-dimensional case. In particular, we identify conditions under which a Central limit theorem (CLT) holds and characterize the asymptotic variance. Moreover, we study the influence of the switching rate on the diffusivity of the Zig-Zag process by identifying a diffusion limit as the switching rate tends to infinity. Based on our results we compare the performance of the Zig-Zag sampler to existing Monte Carlo methods, both analytically and through simulations.