Fixed-width output analysis for Markov chain Monte Carlo

Details Fixed-width output analysis for Markov chain Monte Carlo Fixed-width output analysis for Markov chain Monte Carlo

2006-01-18

arxiv.org/abs/math/0601446v1

Mathematics

Statistics Theory

Scientific paper

Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a method that stops the simulation when the width of a confidence interval based on an ergodic average is less than a user-specified value. Hence calculating a Monte Carlo standard error is a critical step in assessing the simulation output. We consider the regenerative simulation and batch means methods of estimating the variance of the asymptotic normal distribution. We give sufficient conditions for the strong consistency of both methods and investigate their finite sample properties in a variety of examples.

Affiliated with

Also associated with

No associations

Rating

Fixed-width output analysis for Markov chain Monte Carlo does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Fixed-width output analysis for Markov chain Monte Carlo, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Fixed-width output analysis for Markov chain Monte Carlo will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-594372