Rigorous confidence bounds for MCMC under a geometric drift condition

Journal of Complexity

Volumn 27, Issue 1, 2011, Pages 23-38

  Łatuszyski, Krzysztof ^a   Niemiro, Wojciech ^b,c  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b NICOLAUS COPERNICUS UNIVERSITY   (Poland)

^c UNIVERSITY OF WARSAW   (Poland)

Author keywords

Confidence intervals; Drift condition; Markov chain; MCMC estimation; Mean square error; Simulation cost

Indexed keywords

CHAINS; MARKOV PROCESSES; MEAN SQUARE ERROR;

CONFIDENCE BOUNDS; CONFIDENCE INTERVAL; DRIFT CONDITION; DRIFT FUNCTIONS; DRIFT PARAMETERS; MARKOV CHAIN MONTE CARLO ALGORITHMS; SIMULATION COST; UNBOUNDED FUNCTIONS;

COST ESTIMATING;

EID: 78649724375     PISSN: 0885064X     EISSN: 10902708     Source Type: Journal    
DOI: 10.1016/j.jco.2010.07.003     Document Type: Article

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