Globally Centered Autocovariances in MCMC

DOI10.1080/10618600.2022.2037433OpenAlexW4210795893MaRDI QIDQ5057073

Dootika Vats, Medha Agarwal

Publication date: 15 December 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.01799

zbMATH Keywords

visualizationMarkov chain Monte Carloautocorrelation plotsspectral variance estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• mcmcse

Cites Work

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• Revisiting the Gelman-Rubin diagnostic
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Non-linear time series and Markov chains
• Relative fixed-width stopping rules for Markov chain Monte Carlo simulations
• Strong Consistency and Other Properties of the Spectral Variance Estimator
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• Multivariate output analysis for Markov chain Monte Carlo

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