Читать книгу Computational Statistics in Data Science - Группа авторов - Страница 123
Theorem 1.
Оглавление1 IID. Let . If , then, as ,
2 MCMC. Let be polynomially ergodic of order where such that , then if is positive‐definite, as ,
Typically, MCMC algorithms exhibit positive correlation implying that is larger . This naturally implies that MCMC simulations require more samples than IID simulations. Using Theorem 1 to assess the simulation reliability requires estimation of and , which we describe in Section 4 .
