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

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  • Chakraborty, Saptarshi
  • Bhattacharya, Suman K.
  • Khare, Kshitij

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.

Suggested Citation

  • Chakraborty, Saptarshi & Bhattacharya, Suman K. & Khare, Kshitij, 2022. "Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators," Statistics & Probability Letters, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:stapro:v:183:y:2022:i:c:s0167715221002868
    DOI: 10.1016/j.spl.2021.109337
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    References listed on IDEAS

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