Error estimates for quasi-compact Markov operators
β Scribed by Jiu Ding; Fern Y. Hunt
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 93 KB
- Volume
- 42
- Category
- Article
- ISSN
- 0362-546X
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π SIMILAR VOLUMES
In this paper, the conservative Monte Carlo error estimation methods and theory developed in Geyer (1992a, Statist. Sci. 7, 473-483) are extended from univariate to multivariate Markov chain applications. A small simulation study demonstrates the feasibility of the proposed estimators.
We show how information on the uniformity properties of a point set employed in numerical multi-dimensional integration can be used to improve the error estimate over the usual Monte Carlo one. We introduce a new measure of (non)uniformity for point sets, and derive explicit expressions for the vari