Ergodic averages for monotone functions using upper and lower dominating processes

Abstract

We show how the mean of a monotone function (defined on a state space equipped with a partial ordering) can be estimated, using ergodic averages calculated from upper and lower dominating processes of a stationary irreducible Markov chain. In particular, we do not need to simulate the stationary Markov chain and we eliminate the problem of whether an appropriate burn-in is determined or not. Moreover, when a central limit theorem applies, we show how confidence intervals for the mean can be estimated by bounding the asymptotic variance of the ergodic average based on the equilibrium chain. Our methods are studied in detail for three models using Markov chain Monte Carlo methods and we also discuss various types of other models for which our methods apply. © 2007 International Society for Bayesian Analysis.