On the applicability of regenerative simulation in Markov chain Monte Carlo
再生模拟在马尔可夫链蒙特卡洛中的适用性
We consider the central limit theorem and the calculation of asymptotic standard errors for the ergodic averages constructed in Markov chain Monte Carlo. Chan & Geyer (1994) established a central limit theorem for ergodic averages by assuming that the underlying Markov chain is geometrically ergodic and that a simple moment condition is satisfied. While it is relatively straightforward to check Chan & Geyer's conditions, their theorem does not lead to a consistent and easily…