Batch means and spectral variance estimators in Markov chain Monte Carlo
马尔可夫链蒙特卡洛中的批均值与谱方差估计
Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral and batch means methods for estimating this variance. In particular, we establish conditions which guarantee that these estimators are strongly consistent as the simulation effort…