c_chains_to_measure_as_list: Obtain empirical measure (as list) from coupled chains

In pierrejacob/debiasedmcmc: Unbiased MCMC with couplings

Obtain empirical measure (as list) from coupled chains

Description

From coupled chains, presumably generated via sample_coupled_chains, and a choice of integers k and m, the function constructs a representation of an empirical signed measure, i.e.

\hat{π}(dx) = ∑_{n=1}^N ω_n δ_{Z_n}(dx)

The function returns the weights ω and the atoms Z, in a list with two entries, "weights" and "atoms".

Usage

c_chains_to_measure_as_list(c_chains, k, m)

Arguments

c_chains	A list containing coupled chains generated by sample_coupled_chains.
k	An integer at which to start computing the signed measure; should be less than m
m	A time horizon: should be less than the length of the chains; typically the same m that was used in the call to sample_coupled_chains, or a smaller value

Value

A list with "weights" and "atoms"

pierrejacob/debiasedmcmc documentation built on Aug. 22, 2022, 12:41 a.m.