Fixed-Width Output Analysis for Markov Chain Monte Carlo
马尔可夫链蒙特卡洛的固定宽度输出分析
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…