Consistent estimation of the accuracy of importance sampling using regenerative simulation
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- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Jones, Galin L. & Haran, Murali & Caffo, Brian S. & Neath, Ronald, 2006. "Fixed-Width Output Analysis for Markov Chain Monte Carlo," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1537-1547, December.
- James P. Hobert, 2002. "On the applicability of regenerative simulation in Markov chain Monte Carlo," Biometrika, Biometrika Trust, vol. 89(4), pages 731-743, December.
- Peter W. Glynn & Donald L. Iglehart, 1990. "Simulation Output Analysis Using Standardized Time Series," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 1-16, February.
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Cited by:
- Raices Cruz, Ivette & Lindström, Johan & Troffaes, Matthias C.M. & Sahlin, Ullrika, 2022. "Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis," Computational Statistics & Data Analysis, Elsevier, vol. 176(C).
- Matti Vihola & Jouni Helske & Jordan Franks, 2020. "Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1339-1376, December.
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