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Activity Number:
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475
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #309022 |
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Title:
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Using Subsampling in Markov Chain Monte Carlo
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Author(s):
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James Flegal*+
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Companies:
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The University of Minnesota
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Address:
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1901 Emerson Ave S 104, Minneapolis, MN, 55403,
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Keywords:
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Markov chain ; subsampling ; fixed-width ; batch means
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Abstract:
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Markov chain Monte Carlo is a method of producing a correlated sample to estimate characteristics of a target distribution. Several research papers deal with the special case in estimating ergodic averages and their corresponding standard errors. A fundamental question is how to estimate the standard error of the $q$th quantile of $\pi$? To this end, we will use subsampling as a method of estimating the MCSE of the estimate. Further, we will compare our results to some common alternatives.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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