Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
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Publication:1697035
DOI10.3150/16-BEJ914zbMath1419.62141arXiv1507.08266MaRDI QIDQ1697035
Dootika Vats, James M. Flegal, Galin L. Jones
Publication date: 15 February 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.08266
Computational methods in Markov chains (60J22) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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