Monte Carlo error estimation for multivariate Markov chains

DOI10.1016/S0167-7152(99)00090-5MaRDI QIDQ1962124zbMATH OpenFDO

Authors Michael R. Kosorok

Publication date 5 February 2002

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

Full work available at URL https://doi.org/10.1016/S0167-7152(99)00090-5

zbMATH Keywords

autocovariance estimatorsgreatest convex minorantsMarkov chain Monte CarloMetropolis-Hastings algorithmstationary processeswindow 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)

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Cites work

• Bayesian computation and stochastic systems. With comments and reply.
• Equation of state calculations by fast computing machines
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 472921 (Why is no real title available?)
• scientific article; zbMATH DE number 472922 (Why is no real title available?)
• scientific article; zbMATH DE number 472923 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications

Cited in

(19)

• Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
• Bayesian estimation of free-knot splines using reversible jumps.
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Revisiting the Gelman-Rubin diagnostic
• The Monte Carlo computation error of transition probabilities
• Markov chain Monte Carlo estimation of quantiles
• Multivariate output analysis for Markov chain Monte Carlo
• Globally Centered Autocovariances in MCMC
• On Stochastic Error and Computational Efficiency of the Markov Chain Monte Carlo Method
• The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds
• scientific article; zbMATH DE number 7703304 (Why is no real title available?)
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Multivariate strong invariance principles in Markov chain Monte Carlo
• Analyzing Markov chain Monte Carlo output
• Estimating Monte Carlo variance from multiple Markov chains
• Multivariate Moment Least-Squares Variance Estimators for Reversible Markov Chains
• Accuracy of posterior approximations via ^2 and harmonic divergences
• Efficient Multivariate Initial Sequence Estimators for MCMC
• Estimation and inference in multivariate Markov chains

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