2 papers
math.ST2026
Inference Optimal Long Run Variance Estimation with Lugsail Kernels
Rebecca P. Kurtz-Garcia, James M. Flegal
For datasets with unknown but stationary serial dependence, a robust long run variance estimator is essential to handle diverse scenarios. Spectral variance estimators are commonly…
stat.CO2024
Implementing MCMC: Multivariate estimation with confidence
James M. Flegal, Rebecca P. Kurtz-Garcia
This paper addresses the key challenge of estimating the asymptotic covariance associated with the Markov chain central limit theorem, which is essential for visualizing and termin…