Discrepancy bounds for uniformly ergodic Markov chain quasi-Monte Carlo
نویسندگان
چکیده
منابع مشابه
Discrepancy estimates for variance bounding Markov chain quasi-Monte Carlo
Markov chain Monte Carlo (MCMC) simulations are modeled as driven by true random numbers. We consider variance bounding Markov chains driven by a deterministic sequence of numbers. The star-discrepancy provides a measure of efficiency of such Markov chain quasi-Monte Carlo methods. We define a pull-back discrepancy of the driver sequence and state a close relation to the star-discrepancy of the...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2016
ISSN: 1050-5164
DOI: 10.1214/16-aap1173