2 papers
stat.ME2024
Multivariate moment least-squares estimators for reversible Markov chains
Hyebin Song, Stephen Berg
Markov chain Monte Carlo (MCMC) is a commonly used method for approximating expectations with respect to probability distributions. Uncertainty assessment for MCMC estimators is es…
stat.ME2024
Weighted shape-constrained estimation for the autocovariance sequence from a reversible Markov chain
Hyebin Song, Stephen Berg
We present a novel weighted projection method for estimating autocovariance sequences and spectral density functions from reversible Markov chains. Berg and Song (2023) in…