Batch Size Selection for Variance Estimators in MCMC
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DOI: 10.1007/s11009-020-09841-7
Abstract: We consider batch size selection for a general class of multivariate batch means variance estimators, which are computationally viable for high-dimensional Markov chain Monte Carlo simulations. We derive the asymptotic mean squared error for this… read more here.
Keywords: variance estimators; batch; batch size; size selection ... See more keywords