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math.ST2015
Multivariate Output Analysis for Markov chain Monte Carlo
Dootika Vats, James M. Flegal, Galin L. Jones
Markov chain Monte Carlo (MCMC) produces a correlated sample for estimating expectations with respect to a target distribution. A fundamental question is when should sampling stop…
math.ST2015★ 6 cited
Strong Consistency of Multivariate Spectral Variance Estimators
Dootika Vats, James M. Flegal, Galin L. Jones
Markov chain Monte Carlo (MCMC) algorithms are used to estimate features of interest of a distribution. The Monte Carlo error in estimation has an asymptotic normal distribution wh…