Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo

DOI10.1214/10-AOS828zbMath1219.62125arXiv0911.1164MaRDI QIDQ548543

Yves F. Atchadé

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.1164

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (7)

Markov chain Monte Carlo confidence intervals ⋮ Batch size selection for variance estimators in MCMC ⋮ Neuronized Priors for Bayesian Sparse Linear Regression ⋮ A martingale decomposition for quadratic forms of Markov chains (with applications) ⋮ A central limit theorem for adaptive and interacting Markov chains ⋮ Geometric Ergodicity and Scanning Strategies for Two-Component Gibbs Samplers ⋮ Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition

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