Multivariate initial sequence estimators in Markov chain Monte Carlo
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Publication:2011526
Abstract: Markov chain Monte Carlo (MCMC) is a simulation method commonly used for estimating expectations with respect to a given distribution. We consider estimating the covariance matrix of the asymptotic multivariate normal distribution of a vector of sample means. Geyer (1992) developed a Monte Carlo error estimation method for estimating a univariate mean. We propose a novel multivariate version of Geyer's method that provides an asymptotically valid estimator for the covariance matrix and results in stable Monte Carlo estimates. The finite sample properties of the proposed method are investigated via simulation experiments.
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Cited in
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- Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
- Monte Carlo error estimation for multivariate Markov chains
- Revisiting the Gelman-Rubin diagnostic
- Convergence rates of two-component MCMC samplers
- Challenges in Markov chain Monte Carlo for Bayesian neural networks
- Multivariate output analysis for Markov chain Monte Carlo
- Globally Centered Autocovariances in MCMC
- Assessing and Visualizing Simultaneous Simulation Error
- A Bayesian latent spatial model for mapping the cortical signature of progression to Alzheimer's disease
- 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
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- Efficient Multivariate Initial Sequence Estimators for MCMC
- Estimation and inference in multivariate Markov chains
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