Batch size selection for variance estimators in MCMC

DOI10.1007/s11009-020-09841-7zbMath1493.62130arXiv1804.05975OpenAlexW3118611672MaRDI QIDQ2671217

Yanyan Li

Publication date: 3 June 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.05975

zbMATH Keywords

Markov chain Monte Carlobatch sizeasymptotic variance estimationoverlapping batch means

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15)

Related Items (1)

Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain

Uses Software

• CODA
• mcmcse
• spBayes

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