Monte Carlo error estimation for multivariate Markov chains

DOI10.1016/S0167-7152(99)00090-5zbMath0978.62071MaRDI QIDQ1962124

Michael R. Kosorok

Publication date: 5 February 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlostationary processesMetropolis-Hastings algorithmgreatest convex minorantsautocovariance estimatorswindow estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (8)

The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds ⋮ Globally Centered Autocovariances in MCMC ⋮ Estimation and inference in multivariate Markov chains ⋮ Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain ⋮ Multivariate initial sequence estimators in Markov chain Monte Carlo ⋮ Accuracy of posterior approximations via \(\chi^2\) and harmonic divergences ⋮ Revisiting the Gelman-Rubin diagnostic ⋮ Bayesian estimation of free-knot splines using reversible jumps.

Cites Work

• Bayesian computation and stochastic systems. With comments and reply.
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
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