Efficient Multivariate Initial Sequence Estimators for MCMC

DOI10.1080/10618600.2025.2567948MaRDI QIDQ7261379zbMATH OpenFDO

Authors Arka Banerjee, Dootika Vats

Publication date 9 June 2026

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10618600.2025.2567948

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Batch size selection for variance estimators in MCMC
• Efficient Posterior Sampling for Bayesian Poisson Regression
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Globally Centered Autocovariances in MCMC
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference from iterative simulation using multiple sequences
• Lugsail lag windows for estimating time-average covariance matrices
• Monte Carlo error estimation for multivariate Markov chains
• Multivariate estimation in regenerative simulation
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Multivariate Moment Least-Squares Variance Estimators for Reversible Markov Chains
• Multivariate output analysis for Markov chain Monte Carlo
• Multivariate strong invariance principles in Markov chain Monte Carlo
• Replicated batch means variance estimators in the presence of an initial transient
• Reversibility of first-order autoregressive processes
• Revisiting the Gelman-Rubin diagnostic
• Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo

This page was built for publication: Efficient Multivariate Initial Sequence Estimators for MCMC

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7261379)