scientific article; zbMATH DE number 927299

zbMATH Open0855.62070MaRDI QIDQ4892503FDOQ4892503

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Publication date: 6 February 1997

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Recommendations

• Quasi-reliable estimates of effective sample size
• Efficiency of finite state space Monte Carlo Markov chains
• Efficiency of empirical estimators for Markov chains
• Estimating joint distributions of Markov chains
• Asymptotic variance of stationary reversible and normal Markov processes

zbMATH Keywords

Markov chain Monte Carlotime seriesasymptotic efficiencyautocorrelationspectral densitysubsamplingGibbs samplingsample meanmean-square errorrho-mixingtime reversible stationary Markov chain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (4)

• Asymmetric convergence of approximations of the Monte Carlo method
• Quasi-reliable estimates of effective sample size
• On Stochastic Error and Computational Efficiency of the Markov Chain Monte Carlo Method
• Rigorous confidence bounds for MCMC under a geometric drift condition

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