Estimation of integrals with respect to infinite measures using regenerative sequences

DOI10.1239/jap/1450802757zbMath1334.65003OpenAlexW2214140153WikidataQ60521540 ScholiaQ60521540MaRDI QIDQ2794730

Vivekananda Roy, Krishna B. Athreya

Publication date: 11 March 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1450802757

zbMATH Keywords

Monte CarloMarkov chainconfidence intervalrandom walkregenerative sequenceimproper target

Mathematics Subject Classification ID

Related Items (3)

Limit theorems of Brownian additive functionals ⋮ Posterior propriety for hierarchical models with log-likelihoods that have norm bounds ⋮ Limit theorems for the estimation of \(L^1\) integrals using the Brownian motion

Uses Software

• R

Cites Work

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• Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
• Distribution of the number of visits of a random walk
• On the applicability of regenerative simulation in Markov chain Monte Carlo
• Regeneration in Markov Chain Samplers
• Probability

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