Estimation of the Asymptotic Variance in the CLT for Markov Chains

DOI10.1081/STM-120025399zbMath1042.60039OpenAlexW2044013581MaRDI QIDQ4431305

Didier Chauveau, Jean Diebolt

Publication date: 19 October 2003

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-120025399

zbMATH Keywords

functional central limit theoremasymptotic varianceMCMC simulationconvergence of Markov chains

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

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