Estimation of integrals with respect to infinite measures using regenerative sequences

DOI10.1239/JAP/1450802757MaRDI QIDQ2794730zbMATH OpenOpenAlexWikidataFDO

Authors Vivekananda Roy, K. B. Athreya

Publication date 11 March 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1450802757

zbMATH Keywords

confidence intervalimproper targetMarkov chainMonte Carlorandom walkregenerative sequence

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Computational methods in Markov chains (60J22) Parametric tolerance and confidence regions (62F25) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Distribution of the number of visits of a random walk
• scientific article; zbMATH DE number 3158353 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Limit theorems for Lévy processes and Poisson point processes and their applications to Brownian excursions
• Markov chains and stochastic stability
• Monte Carlo methods for improper target distributions
• Nonparametric estimation in null recurrent time series.
• On the applicability of regenerative simulation in Markov chain Monte Carlo
• Probability. Theory and examples.
• Regeneration in Markov Chain Samplers
• Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
• Stochastic simulation: Algorithms and analysis

Cited in

(5)

• Limit theorems for the estimation of \(L^1\) integrals using the Brownian motion
• Posterior propriety for hierarchical models with log-likelihoods that have norm bounds
• Limit theorems of Brownian additive functionals
• General Glivenko-Cantelli theorems
• Regenerative bootstrap for -null recurrent Markov chains

Describes a project that uses

Uses Software

• R

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