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Activity Number:
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558
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Type:
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Contributed
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Date/Time:
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Thursday, August 6, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #303904 |
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Title:
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Batch Means and Spectral Variance Estimators in Markov Chain Monte Carlo
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Author(s):
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James M. Flegal*+ and Galin L. Jones
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Companies:
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University of California, Riverside and The University of Minnesota
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Address:
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, Riverside, CA, 92521,
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Keywords:
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Markov chain ; Monte Carlo ; Spectral methods ; batch means ; standard error
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Abstract:
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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. For example, it can be used to provide a rigorous method for terminating the simulation. 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 increases. In addition, for the batch means and overlapping batch means methods we establish conditions ensuring consistency in the mean-square sense which in turn allows us to calculate the optimal batch size. Finally, we examine the finite-sample properties of spectral variance and batch means estimators in the context of an example.
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- Authors who are presenting talks have a * after their name.
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