Fixed Precision MCMC Estimation by Median of Products of Averages

DOI10.1239/jap/1245676089zbMath1170.60327OpenAlexW2065635210WikidataQ96748981 ScholiaQ96748981MaRDI QIDQ5321751

Piotr Pokarowski, Wojciech Niemiro

Publication date: 15 July 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1245676089

zbMATH Keywords

Markov chain Monte Carlobiasmean-square errorrare-event simulationconfidence estimation

Mathematics Subject Classification ID

Related Items (13)

Information geometry approach to parameter estimation in Markov chains ⋮ Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques ⋮ Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors ⋮ Rigorous confidence bounds for MCMC under a geometric drift condition ⋮ A Universal Median Quasi-Monte Carlo Integration ⋮ Consistency of randomized integration methods ⋮ Efficient Monte Carlo for high excursions of Gaussian random fields ⋮ Nonasymptotic bounds on the estimation error of MCMC algorithms ⋮ The worm process for the Ising model is rapidly mixing ⋮ Normalizing constants of log-concave densities ⋮ Solvable integration problems and optimal sample size selection ⋮ Error bounds for computing the expectation by Markov chain Monte Carlo ⋮ Optimal confidence for Monte Carlo integration of smooth functions

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