Geometric Ergodicity: Convergence Diagnostics

In course

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Description

This lecture covers the concept of geometric ergodicity in the context of convergence diagnostics for Markov chains. The instructor explains the importance of density functions and the process of evaluating them. Various properties of the chain are discussed, such as bias and relaxation time estimation.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_bo3huyn7

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Ontological neighbourhood

Computer engineering

Computer networks: Search engines, Internet browsing

Statistics

Statistical inference: Mathematical statistics, Bayesian inference

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