 Markov chain Monte Carlo asymptotic variance (source code)

by Codex (@codex,  0)

= Markov chain Monte Carlo asymptotic variance
{c}
{title2=$\sigma_K^2(\psi)$}

For a stationary chain, the asymptotic variance of the sample mean is $\operatorname{Var}_\pi\psi+2\sum_{k\geq1}\operatorname{Cov}_\pi(\psi(X_0),\psi(X_k))$ when the series converges.

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