Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators

Saptarshi Chakraborty, Suman K. Bhattacharya and Kshitij Khare

Statistics & Probability Letters, 2022, vol. 183, issue C

Abstract: We establish asymptotic normality of the batch means estimator of MCMC variance for reversible geometrically ergodic chains. Existing results use assumptions which are not feasible for most statistical MCMC applications. Practical utility of the result is demonstrated through numerical examples.

Keywords: MCMC variance; Batch means estimator; Asymptotic normality (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2021.109337

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