An automated stopping rule for MCMC convergence assessment

DOI10.1007/S001800050024zbMATH Open0947.60018OpenAlexW2060379981MaRDI QIDQ1979100FDOQ1979100

Authors: Didier Chauveau, J. Diebolt 

Publication date: 24 May 2000

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00073116/file/RR-3566.pdf

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zbMATH Keywords

normality testMarkov chain Monte Carlo algorithmfinite state Markov chainconvergence assessment

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (8)

• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• On single versus multiple imputation for a class of stochastic algorithms estimating maximum likelihood
• New recursive estimators of the time-average variance constant
• Recursive estimation of time-average variance constants
• Central limit theorem for hitting times of functionals of Markov jump processes
• Relative fixed-width stopping rules for Markov chain Monte Carlo simulations
• Estimation of the Asymptotic Variance in the CLT for Markov Chains
• Kolmogorov–Smirnov, Fluctuation, and Z_gTests for Convergence of Markov Chain Monte Carlo Draws

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