Читать книгу Computational Statistics in Data Science - Группа авторов - Страница 117

Recall that is a ‐dimensional target distribution, and interest is in estimating different features of . In Monte Carlo simulation, we generate either via IID sampling or via a Markov chain that has as its limiting distribution. For MCMC samples, we assume throughout that a Harris ergodic Markov chain is employed ensuring convergence of sample statistics to (finite) population quantities (see Roberts and Rosenthal [9], for definitions).