Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
نویسندگان
چکیده
منابع مشابه
Kernel Estimators of Asymptotic Variance for Adaptive Markov Chain Monte Carlo
We study the asymptotic behavior of kernel estimators of asymptotic variances (or long-run variances) for a class of adaptive Markov chains. The convergence is studied both in L and almost surely. The results apply to Markov chains as well and improve on the existing literature by imposing weaker conditions. We illustrate the results with applications to the GARCH(1, 1) Markov model and to an a...
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This is a supplement to the paper " Kernel estimators of asymp-totic variance for adaptive Markov Chain Monte Carlo " and contains the proofs to Theorems 4.1-4.3. For improved readability, we recall the theorems and their assumptions. 1. Statement of the theorems. A1 For each θ ∈ Θ, P θ is phi-irreducible, aperiodic with invariant distribution π. There exists a measurable function V : X → [1, ∞...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/10-aos828