275 citations · 619 across the 18 of their papers we have counts for
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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…
Estimating standard errors for importance sampling estimators with multiple Markov chains
Vivekananda Roy, Aixin Tan, James M. Flegal
The naive importance sampling estimator, based on samples from a single importance density, can be numerically unstable. Instead, we consider generalized importance sampling estima…
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…