Batch means and spectral variance estimators in Markov chain Monte Carlo
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Publication:2380096
Abstract: Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral and batch means methods for estimating this variance. In particular, we establish conditions which guarantee that these estimators are strongly consistent as the simulation effort increases. In addition, for the batch means and overlapping batch means methods we establish conditions ensuring consistency in the mean-square sense which in turn allows us to calculate the optimal batch size up to a constant of proportionality. Finally, we examine the empirical finite-sample properties of spectral variance and batch means estimators and provide recommendations for practitioners.
Recommendations
- Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
- Batch size selection for variance estimators in MCMC
- Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- Weighted batch means estimators in Markov chain Monte Carlo
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