Markov Chain Monte Carlo confidence intervals
نویسندگان
چکیده
منابع مشابه
Adaptive Markov Chain Monte Carlo Confidence Intervals
In Adaptive Markov Chain Monte Carlo (AMCMC) simulation, classical estimators of asymptotic variances are inconsistent in general. In this work we establish that despite this inconsistency, confidence interval procedures based on these estimators remain consistent. We study two classes of confidence intervals, one based on the standard Gaussian limit theory, and the class of so-called fixed-b c...
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For a reversible and ergodic Markov chain {Xn, n ≥ 0} with invariant distribution π, we show that a valid confidence interval for π(h) can be constructed whenever the asymptotic variance σ P (h) is finite and positive. We do not impose any additional condition on the convergence rate of the Markov chain. The confidence interval is derived using the so-called fixed-b lag-window estimator of σ P ...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2016
ISSN: 1350-7265
DOI: 10.3150/15-bej712