Multivariate Moment Least-Squares Variance Estimators for Reversible Markov Chains

DOI10.1080/10618600.2024.2407458MaRDI QIDQ6968070zbMATH OpenFDO

Authors Hyebin Song, Stephen Berg

Publication date 25 June 2025

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/10618600.2024.2407458

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Batch size selection for variance estimators in MCMC
• Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
• Control Variates for Estimation Based on Reversible Markov Chain Monte Carlo Samplers
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Geometric ergodicity and hybrid Markov chains
• Geometric ergodicity and the spectral gap of non-reversible Markov chains
• Markov Chains and Stochastic Stability
• Markov-chain monte carlo: Some practical implications of theoretical results
• Monte Carlo error estimation for multivariate Markov chains
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Multivariate output analysis for Markov chain Monte Carlo
• On the Markov chain central limit theorem
• Reversibility of first-order autoregressive processes
• Strong Consistency and Other Properties of the Spectral Variance Estimator
• Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
• The Pólya-gamma Gibbs sampler for Bayesian logistic regression is uniformly ergodic
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• Variance reduction for Markov chains with application to MCMC

Cited in

(2)

• Estimating Monte Carlo variance from multiple Markov chains
• Efficient Multivariate Initial Sequence Estimators for MCMC

This page was built for publication: Multivariate Moment Least-Squares Variance Estimators for Reversible Markov Chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6968070)