Simple Confidence Intervals for MCMC Without CLTs
Methodology
2018-12-04 v1 Probability
Abstract
This short note argues that 95% confidence intervals for MCMC estimates can be obtained even without establishing a CLT, by multiplying their widths by 2.3.
Cite
@article{arxiv.1812.00126,
title = {Simple Confidence Intervals for MCMC Without CLTs},
author = {Jeffrey S. Rosenthal},
journal= {arXiv preprint arXiv:1812.00126},
year = {2018}
}
Comments
4 pages