Class notes: Monte Carlo methods Week 4, Markov chain Monte Carlo analysis
نویسنده
چکیده
Error bars for MCMC are harder than for direct Monte Carlo. It is harder to estimate error bars from MCMC data, and it is harder to predict them from theory. The estimation and theory are more important because MCMC estimation errors can be much larger than you might expect based on the run time. The fundamental formula for MCMC error bars is as follows. Suppose Xk is a sequence of MCMC samples. We estimate A = Ef [V (X)] using
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