Computation of expectations by Markov chain Monte Carlo methods
Statistics Theory
2014-12-03 v2 Numerical Analysis
Probability
Statistics Theory
Abstract
Markov chain Monte Carlo (MCMC) methods are a very versatile and widely used tool to compute integrals and expectations. In this short survey we focus on error bounds, rules for choosing the burn in, high dimensional problems and tractability versus curse of dimension.
Cite
@article{arxiv.1311.1899,
title = {Computation of expectations by Markov chain Monte Carlo methods},
author = {Erich Novak and Daniel Rudolf},
journal= {arXiv preprint arXiv:1311.1899},
year = {2014}
}
Comments
14 pages. In: "Extraction of quantifiable information from complex systems", S. Dahlke et al. (eds.), Springer, 2014