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Invariance Principles with Logarithmic Averaging for Ergodic Simulations

In: Monte Carlo and Quasi-Monte Carlo Methods 2004

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  • Olivier Bardou

    (INRIA)

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.

Suggested Citation

  • Olivier Bardou, 2006. "Invariance Principles with Logarithmic Averaging for Ergodic Simulations," Springer Books, in: Harald Niederreiter & Denis Talay (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2004, pages 1-13, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-31186-7_1
    DOI: 10.1007/3-540-31186-6_1
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