• Corpus ID: 88516836

Optimal batch sizes for variance estimators in MCMC

  title={Optimal batch sizes for variance estimators in MCMC},
  author={Ying Liu and Dootika Vats and James M. Flegal},
This paper proposes optimal mean squared error batch sizes for multivariate batch means and spectral variance estimators. We propose a novel estimation technique for the optimal batch sizes, which is computationally inexpensive and has low variability. Further, the asymptotic mean squared error for a family of spectral variance estimators is derived under conditions convenient to verify for Markov chain Monte Carlo simulations. Vector auto-regressive, Bayesian logistic regression, and Bayesian… 

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