Monte Carlo error estimation for multiva
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Michael R. Kosorok
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Article
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2000
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Elsevier Science
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English
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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.