Search Results for author: Kushagra Gupta

Found 1 papers, 1 papers with code

Estimating Monte Carlo variance from multiple Markov chains

1 code implementation8 Jul 2020 Kushagra Gupta, Dootika Vats

We demonstrate that simply averaging covariance matrix estimators from multiple chains (average BM) can yield critical underestimates in small sample sizes, especially for slow mixing Markov chains.

Methodology Computation

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