Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators

DOI10.1016/j.spl.2021.109337zbMath1489.62086MaRDI QIDQ2667588

Kshitij Khare, Saptarshi Chakraborty, Suman Bhattacharya

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109337

zbMATH Keywords

asymptotic normality; batch means estimator; MCMC variance

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

62F15: Bayesian inference

Uses Software

• flare