Fall 2002 Seminar Series - September 19, 2002
University of Minnesota
School of Statistics
College of Liberal Arts

Honest MCMC via Drift and Minorization

Jim Hobert
Department of Statistics, University of Florida

Thursday, September 19, 2002
4:00 PM, 115 Ford Hall
Minneapolis, East Bank Campus
Social at 3:30 PM, 300 Ford Hall

Abstract

I call an MCMC algorithm "honest" if it is possible to calculate standard errors using a valid central limit theorem along with a consistent estimate of the (unknown) asymptotic variance. In this talk, I will explain how drift and minorization conditions on the underlying Markov chain make honest MCMC possible. (This is joint work with Galin Jones, Brett Presnell and Jeffrey Rosenthal.)