Monte Carlo methods for improper target distributions
نویسندگان
چکیده
منابع مشابه
Monte Carlo methods for improper target distributions
Abstract: Monte Carlo methods (based on iid sampling or Markov chains) for estimating integrals with respect to a proper target distribution (that is, a probability distribution) are well known in the statistics literature. If the target distribution π happens to be improper then it is shown here that the standard time average estimator based on Markov chains with π as its stationary distributi...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2014
ISSN: 1935-7524
DOI: 10.1214/14-ejs969