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Results tagged with stochastic-processes
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user 8719
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
1
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exchangeable normal r.v.s
I will expand on this answer later if there is interest and when I have some references handy. But for now you may be interested in the following way of thinking about the problem.
One way to charac …
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0
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1
answer
197
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Law of large numbers for Harris recurrent Markov chains
I'm trying to familiarize myself with the details of the proof that the Markov chains produce by the Metropolis-Hastings algorithm have a law of large numbers. I've found a half dozen or more referenc …
- 2,791
1
vote
Accepted
Gibbs sampling step size
To expand a bit on Arthur B.'s comment that you can use samples even if they are dependent, consider this quote from Andrew Gelman and Kenneth Shirley:
The purpose of thinning (i.e. setting n
to som …
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0
votes
Quantifying the effect of noise on the posterior variance in Gaussian processes / multivaria...
Consider the joint Gaussian distribution of $(Y, Z, f(x))$. Observe that knowing both $Y$ and $Z$ together is equivalent to knowing $f(\mathbf{x})$ (the noiseless version of $Y$). Then we can compute …
- 2,791
16
votes
James-Stein phenomenon: What does it mean that a James-Stein estimator beats least squares e...
This has always bothered me. "One should use the price of tea in China to obtain a better estimate of the chance of rain in Melbourne" is not a good characterization at all. One should use the price …
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