Error bounds of MCMC for functions with unbounded stationary variance

DOI10.1016/j.spl.2014.07.035zbMath1329.60265arXiv1312.4344OpenAlexW2120508071MaRDI QIDQ2344860

Nikolaus Schweizer, Daniel Rudolf

Publication date: 18 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4344

zbMATH Keywords

spectral gapMarkov chain Monte Carlo methodsuniform ergodicityabsolute mean error

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (6)

Perturbation bounds and degree of imprecision for uniquely convergent imprecise Markov chains ⋮ Dimension‐independent Markov chain Monte Carlo on the sphere ⋮ Solvable integration problems and optimal sample size selection ⋮ Optimal confidence for Monte Carlo integration of smooth functions ⋮ A Strong Law of Large Numbers for Scrambled Net Integration ⋮ Computation of Expectations by Markov Chain Monte Carlo Methods

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