کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129390 1489641 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate initial sequence estimators in Markov chain Monte Carlo
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Multivariate initial sequence estimators in Markov chain Monte Carlo
چکیده انگلیسی

Markov chain Monte Carlo (MCMC) is a simulation method commonly used for estimating expectations with respect to a given distribution. We consider estimating the covariance matrix of the asymptotic multivariate normal distribution of a vector of sample means. Geyer (1992) developed a Monte Carlo error estimation method for estimating a univariate mean. We propose a novel multivariate version of Geyer's method that provides an asymptotically valid estimator for the covariance matrix and results in stable Monte Carlo estimates. The finite sample properties of the proposed method are investigated via simulation experiments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 159, July 2017, Pages 184-199
نویسندگان
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