Computation of expectations by Markov chain Monte Carlo methods
classification
🧮 math.ST
math.NAmath.PRstat.TH
keywords
carlochainexpectationsmarkovmethodsmonteboundsburn
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Markov chain Monte Carlo (MCMC) methods are a very versatile and widely used tool to compute integrals and expectations. In this short survey we focus on error bounds, rules for choosing the burn in, high dimensional problems and tractability versus curse of dimension.
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