Lecture

Stochastic Simulations: Ergodicity and Estimators

Description

This lecture covers the concept of geometric ergodicity in Markov chains, focusing on the convergence properties and ergodic estimators. It discusses the bias and variance of estimators, emphasizing efficiency loss quantification. The presentation concludes with a proof of the variance characterization of TV-norm.

About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.