Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques
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Publication:5326129
DOI10.1007/978-3-642-27440-4_31zbMath1271.65007arXiv1101.5837WikidataQ96748975 ScholiaQ96748975MaRDI QIDQ5326129
Krzysztof Łatuszyński, Wojciech Niemiro, Błażej Miasojedow
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.5837
algorithm; confidence intervals; renewal theory; mean square error; nonasymptotic bounds; sequential statistics; Markov chain Monte Carlo trajectory; split chain construction
60J22: Computational methods in Markov chains
62F25: Parametric tolerance and confidence regions
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm, Nonasymptotic bounds on the estimation error of MCMC algorithms, Hit-and-Run for Numerical Integration, Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains
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