## Electronic Journal of Statistics

### Markov chain Monte Carlo estimation of quantiles

#### Abstract

We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated asymptotic variance, which enables construction of an asymptotically valid interval estimator. Finally, we explore the finite sample properties of these methods through examples and provide some recommendations to practitioners.

#### Article information

Source
Electron. J. Statist. Volume 8, Number 2 (2014), 2448-2478.

Dates
First available in Project Euclid: 3 December 2014

http://projecteuclid.org/euclid.ejs/1417615759

Digital Object Identifier
doi:10.1214/14-EJS957

Mathematical Reviews number (MathSciNet)
MR3285872

Zentralblatt MATH identifier
1329.62363

#### Citation

Doss, Charles R.; Flegal, James M.; Jones, Galin L.; Neath, Ronald C. Markov chain Monte Carlo estimation of quantiles. Electron. J. Statist. 8 (2014), no. 2, 2448--2478. doi:10.1214/14-EJS957. http://projecteuclid.org/euclid.ejs/1417615759.

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