The DOI matches its Crossref record; 45 of the 45 references it cites were found in a registry or an index.
Fixed-Width Output Analysis for Markov Chain Monte Carlo
Open accessAbstract
Markov chain Monte Carlo is a method of producing a correlated sample to estimate features of a target distribution through ergodic averages. A fundamental question is when sampling should stop; that is, at what point the ergodic averages are good estimates of the desired quantities. We consider a method that stops the simulation when the width of a confidence interval based on an ergodic average is less than a user-specified value. Hence calculating a Monte Carlo standard error is a critical step in assessing the simulation output. We consider the regenerative simulation and batch means methods of estimating the variance of the asymptotic normal distribution. We give sufficient conditions for the strong consistency of both methods and investigate their finite-sample properties in various examples.
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Cites
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
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Markov Chains and Stochastic Stability
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Bayesian image restoration, with two applications in spatial statistics
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Tierney, L. (1994) · The Annals of Statistics · doi:10.1214/aos/1176325750 · Cited by 3,452
Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments
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Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
Cowles, M. K., & Carlin, B. P. (1996) · Journal of the American Statistical Association · doi:10.1080/01621459.1996.10476956 · Cited by 2,056
Independent and stationary sequences of random variables
Ibragimov, I. A., Ліннік, Ю. В., & Kingmán, J. F. C. (1971) · Cited by 2,049
Practical markov chain monte carlo
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Metadata
- Authors
- Jones, G. L., Haran, M., Caffo, B. S., & Neath, R.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 2006-12-01
- Volume
- 101
- Issue
- 476
- Pages
- 1537-1547
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W1982508956
- Cited by
- 301
- References
- 45
- FWCI
- 9.15
- Type
- journal article
- Language
- en
- Open access
- green
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- Jones, G. L., Haran, M., Caffo, B. S., & Neath, R. (2006). Fixed-Width Output Analysis for Markov Chain Monte Carlo. Journal of the American Statistical Association. https://doi.org/10.1198/016214506000000492
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