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A Markov Chain Perspective on Adaptive Monte Carlo Algorithms
Markov Chain Perspective Adaptive Monte Carlo Algorithms
2015/7/8
This paper discusses some connections between adaptive Monte Carlo algorithms and general state space Markov chains. Adaptive algorithms are iterative methods in which previously generated samples are...
A simple variance inequality for U-statistics of a Markov chain with applications
U-statistics Markov chains Inequalities Limit theorems
2011/7/19
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain.