Markov chain Monte Carlo estimation of quantiles

@article{Doss2012MarkovCM,
  title={Markov chain Monte Carlo estimation of quantiles},
  author={C. Doss and James M. Flegal and G. Jones and R. Neath},
  journal={Electronic Journal of Statistics},
  year={2012},
  volume={8},
  pages={2448-2478}
}
  • C. Doss, James M. Flegal, +1 author R. Neath
  • Published 2012
  • Mathematics
  • Electronic Journal of Statistics
  • We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated asymptotic variance, which enables construction of an asymptotically valid interval estimator. Finally, we explore the finite sample properties of these methods through examples and provide some recommendations to practitioners. 

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