Asymptotic Efficiency of the Sample Mean in Markov Chain Monte Carlo Schemes
马尔可夫链蒙特卡洛中样本均值的渐近效率
SUMMARY In many cases, a univariate time series derived from a time reversible stationary Markov chain has the property that there is a distribution function on [–1, 1] ([0, 1]) such that, for all non-negative integers l, its lth moment is the lth lag autocorrelation of the time series. We discuss some consequences of this property. Effects of the asymptotic efficiency of the sample mean on the efficiency of subsampling a stationary Markov chain are discussed. The…