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VOL. 46 | 2004 Use of exchangeable pairs in the analysis of simulations
Persi Diaconis, Charles Stein, Susan Holmes, Gesine Reinert

Editor(s) Persi Diaconis, Susan Holmes

Abstract

The method of exchangeable pairs has emerged as an important tool in proving limit theorems for Poisson, normal and other classical approximations. Here the method is used in a simulation context. We estimate transition probabilitites from the simulations and use these to reduce variances. Exchangeable pairs are used as control variates.

Finally, a general approximation theorem is developed that can be complemented by simulations to provide actual estimates of approximation errors.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

MathSciNet: MR2118600

Digital Object Identifier: 10.1214/lnms/1196283797

Rights: Copyright © 2004, Institute of Mathematical Statistics

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