Weighted batch means estimators in Markov chain Monte Carlo

DOI10.1214/18-EJS1483zbMath1402.60095arXiv1805.08283WikidataQ129159527 ScholiaQ129159527MaRDI QIDQ1616318

R. Smith

Publication date: 1 November 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.08283

zbMATH Keywords

Monte CarloMarkov chainconfidence regionsstrong consistencybatch meanscovariance matrix estimationlong run variance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15)

Related Items (4)

Globally Centered Autocovariances in MCMC ⋮ Assessing and Visualizing Simultaneous Simulation Error ⋮ Batch size selection for variance estimators in MCMC ⋮ Revisiting the Gelman-Rubin diagnostic

Uses Software

• spBayes

Cites Work

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