How to Combine Fast Heuristic Markov Chain Monte Carlo with Slow Exact Sampling

Details How to Combine Fast Heuristic Markov Chain Monte Carlo with Slow Exact Sampling How to Combine Fast Heuristic Markov Chain Monte Carlo with Slow Exact Sampling

2001-06-19

arxiv.org/abs/math/0106159v1

Mathematics

Probability

14 pages

Scientific paper

Use each of n exact samples as the initial state for a MCMC sampler run for m
steps. We give confidence intervals for accuracy of estimators which are always
valid and which, in certain settings, are almost as good as the intervals one
would obtain if the (unknown) mixing time of the chain were known.

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