275 citations · 619 across the 18 of their papers we have counts for
8 papers · 1 filter
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…
A practical sequential stopping rule for high-dimensional MCMC and its application to spatial-temporal Bayesian models
Lei Gong, James M. Flegal
A current challenge for many Bayesian analyses is determining when to terminate high-dimensional Markov chain Monte Carlo simulations. To this end, we propose using an automated se…
Bayesian inference for a flexible class of bivariate beta distributions
Roberto C. Crackel, James M. Flegal
Several bivariate beta distributions have been proposed in the literature. In particular, Olkin and Liu (2003) proposed a 3 parameter bivariate beta model, which Arnold and Ng (201…
A Modified Gibbs Sampler on General State Spaces
Alicia A. Johnson, James M. Flegal
We present a modified Gibbs sampler for general state spaces. We establish that this modification can lead to substantial gains in statistical efficiency while maintaining the over…
Exact sampling for intractable probability distributions via a Bernoulli factory
James M. Flegal, Radu Herbei
Many applications in the field of statistics require Markov chain Monte Carlo methods. Determining appropriate starting values and run lengths can be both analytically and empirica…