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Monte Carlo error estimation for multivariate Markov chains

✍ Scribed by Michael R. Kosorok

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
96 KB
Volume
46
Category
Article
ISSN
0167-7152

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✦ Synopsis

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.

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