Batch means and spectral variance estimators in Markov chain Monte Carlo

@article{Flegal2010BatchMA,
  title={Batch means and spectral variance estimators in Markov chain Monte Carlo},
  author={J. Flegal and G. Jones},
  journal={Annals of Statistics},
  year={2010},
  volume={38},
  pages={1034-1070}
}
  • J. Flegal, G. Jones
  • Published 2010
  • Mathematics
  • Annals of Statistics
  • Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral and batch means methods for estimating this variance. In particular, we establish conditions which guarantee that these estimators are strongly consistent as the simulation effort increases. In addition, for… CONTINUE READING
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