How to determine the error of a Markov Chain Monte Carlo Output

Schürmann, F.J.C.M.

How to determine the error of a Markov Chain Monte Carlo Output

Bachelor thesis (2019)

Authors

F.J.C.M. Schürmann Electrical Engineering, Mathematics and Computer Science

Contributors

G.N.J.C. Bierkens Statistics - (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science, Electrical Engineering, Mathematics and Computer Science

Markov Chain Monte Carlo Asymptotic variance Batch means method Window estimators Central limit theorem

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Published Date

26-06-2019

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Abstract

This thesis discusses and compares methods which try to approximate the assymptotic variance.

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