文章基本信息

标题：Markov chain Monte Carlo estimation of quantiles
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作者：Charles R. Doss ; James M. Flegal ; Galin L. Jones 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2014
卷号：8
期号：2
页码：2448-2478
DOI：10.1214/14-EJS957
语种：English
出版社：Institute of Mathematical Statistics
摘要：We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated asymptotic variance, which enables construction of an asymptotically valid interval estimator. Finally, we explore the finite sample properties of these methods through examples and provide some recommendations to practitioners.