Article ID Journal Published Year Pages File Type
1154475 Statistics & Probability Letters 2015 7 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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