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Maximum Entropy Error Bound for Monte Carlo Sampling

โœ Scribed by F. Remacle; R. D. Levine


Book ID
110276010
Publisher
World Scientific Publishing Company
Year
1998
Tongue
English
Weight
653 KB
Volume
5
Category
Article
ISSN
1230-1612

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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.