Invariance Principles with Logarithmic Averaging for Ergodic Simulations

Olivier Bardou ()
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Olivier Bardou: INRIA

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2004, 2006, pp 1-13 from Springer

Abstract: Summary In this contribution, we consider the problem of variance estimation in the computation of the invariant measure of a random dynamical system via ergodic simulations. An adaptive estimator of the variance for such simulations is deduced from a general result stating an almost sure central limit theorem for empirical means. We also provide a speed of convergence for this estimator.

Keywords: Central Limit Theorem; Ergodic Theorem; Invariance Principle; Asymptotic Variance; Random Dynamical System (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-31186-7_1

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DOI: 10.1007/3-540-31186-6_1

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