275 citations · 287 across the 3 of their papers we have counts for
10 papers
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…
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…
Analyzing MCMC Output
Dootika Vats, Nathan Robertson, James M Flegal +1
Markov chain Monte Carlo (MCMC) is a sampling-based method for estimating features of probability distributions. MCMC methods produce a serially correlated, yet representative, sam…
Assessing and Visualizing Simultaneous Simulation Error
Nathan Robertson, James M. Flegal, Dootika Vats +1
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention…
Lugsail lag windows for estimating time-average covariance matrices
Dootika Vats, James M. Flegal
Lag windows are commonly used in time series, econometrics, steady-state simulation, and Markov chain Monte Carlo to estimate time-average covariance matrices. In the presence of p…
Weighted batch means estimators in Markov chain Monte Carlo
Ying Liu, James M. Flegal
This paper proposes a family of weighted batch means variance estimators, which are computationally efficient and can be conveniently applied in practice. The focus is on Markov ch…