Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators

Saptarshi Chakraborty; Suman K. Bhattacharya; Kshitij Khare

doi:10.1016/j.spl.2021.109337

Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators

Saptarshi Chakraborty
, Suman K. Bhattacharya
, Kshitij Khare

Department of Biostatistics

University of Florida

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

We establish asymptotic normality of the batch means estimator of MCMC variance for reversible geometrically ergodic chains. Existing results use assumptions which are not feasible for most statistical MCMC applications. Practical utility of the result is demonstrated through numerical examples.

Original language	English
Article number	109337
Journal	Statistics and Probability Letters
Volume	183
DOIs	https://doi.org/10.1016/j.spl.2021.109337
State	Published - Apr 2022

Keywords

Asymptotic normality
Batch means estimator
MCMC variance

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10.1016/j.spl.2021.109337

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title = "Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators",

abstract = "We establish asymptotic normality of the batch means estimator of MCMC variance for reversible geometrically ergodic chains. Existing results use assumptions which are not feasible for most statistical MCMC applications. Practical utility of the result is demonstrated through numerical examples.",

keywords = "Asymptotic normality, Batch means estimator, MCMC variance",

author = "Saptarshi Chakraborty and Bhattacharya, \{Suman K.\} and Kshitij Khare",

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year = "2022",

month = apr,

doi = "10.1016/j.spl.2021.109337",

language = "English",

volume = "183",

journal = "Statistics and Probability Letters",

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TY - JOUR

T1 - Estimating accuracy of the MCMC variance estimator

T2 - Asymptotic normality for batch means estimators

AU - Chakraborty, Saptarshi

AU - Bhattacharya, Suman K.

AU - Khare, Kshitij

PY - 2022/4

Y1 - 2022/4

N2 - We establish asymptotic normality of the batch means estimator of MCMC variance for reversible geometrically ergodic chains. Existing results use assumptions which are not feasible for most statistical MCMC applications. Practical utility of the result is demonstrated through numerical examples.

AB - We establish asymptotic normality of the batch means estimator of MCMC variance for reversible geometrically ergodic chains. Existing results use assumptions which are not feasible for most statistical MCMC applications. Practical utility of the result is demonstrated through numerical examples.

KW - Asymptotic normality

KW - Batch means estimator

KW - MCMC variance

UR - https://www.scopus.com/pages/publications/85122425611

U2 - 10.1016/j.spl.2021.109337

DO - 10.1016/j.spl.2021.109337

M3 - Article

AN - SCOPUS:85122425611

SN - 0167-7152

VL - 183

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 109337

ER -

Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators

Abstract

Keywords

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