78 citations · 362 across the 40 of their papers we have counts for
4 papers · 1 filter
Error bounds of MCMC for functions with unbounded stationary variance
Daniel Rudolf, Nikolaus Schweizer
We prove explicit error bounds for Markov chain Monte Carlo (MCMC) methods to compute expectations of functions with unbounded stationary variance. We assume that there is a $p\in(…
Computation of expectations by Markov chain Monte Carlo methods
Erich Novak, Daniel Rudolf
Markov chain Monte Carlo (MCMC) methods are a very versatile and widely used tool to compute integrals and expectations. In this short survey we focus on error bounds, rules for ch…
Discrepancy estimates for variance bounding Markov chain quasi-Monte Carlo
Josef Dick, Daniel Rudolf
Markov chain Monte Carlo (MCMC) simulations are modeled as driven by true random numbers. We consider variance bounding Markov chains driven by a deterministic sequence of numbers.…
Discrepancy bounds for uniformly ergodic Markov chain quasi-Monte Carlo
Josef Dick, Daniel Rudolf, Houying Zhu
Markov chains can be used to generate samples whose distribution approximates a given target distribution. The quality of the samples of such Markov chains can be measured by the d…