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On the Markov chain central limit theorem
Central Limit Theorem Markov Chain Monte Carlo Mixing Condition Drift Condition
2009/5/18
The goal of this expository paper is to describe conditions which guarantee a central limit theorem for functionals of general state space Markov chains. This is done with a view towards Markov chain ...
How to Combine Fast Heuristic Markov Chain Monte Carlo with Slow Exact Sampling
Confidence interval Exact sampling Markov Chain Monte Carlo
2009/5/4
Given a probability law $pi$ on a set S and a function $g : S rightarrow R$, suppose one wants to estimate the mean $bar{g} = int g dpi$. The Markov Chain Monte Carlo method consists of inventing and ...