کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154475 1489880 2015 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Error bounds of MCMC for functions with unbounded stationary variance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Error bounds of MCMC for functions with unbounded stationary variance
چکیده انگلیسی

We prove explicit error bounds for Markov chain Monte Carlo (MCMC) methods to compute expectations of functions with unbounded stationary variance. We assume that there is a p∈(1,2)p∈(1,2) so that the functions have finite LpLp-norm. For uniformly ergodic Markov chains we obtain error bounds with the optimal order of convergence n1/p−1n1/p−1 and if there exists a spectral gap we almost get the optimal order. Further, a burn-in period is taken into account and a recipe for choosing the burn-in is provided.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 99, April 2015, Pages 6–12
نویسندگان
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