Making mean-estimation more efficient using an MCMC trace variance approach: DynaMITE

Cyrus Cousins, Shahrzad Haddadan, Eli Upfal

We introduce a novel statistical measure for MCMC-mean estimation, the inter-trace variance ${\mathrm{trv}}^{({\tau }_{rel})}(\mathcal{M},f)$, which depends on a Markov chain $\mathcal{M}$ and a fu…