Dear colleagues working with Markov-chain Monte Carlo, especially for Bayesian posterior analysis:
Do you know of any Monte Carlo Standard Error (MCSE) estimators (or alternatively a p% MC error interval) for the *mean*, in the case where the posterior distribution may *not* have a finite variance (but it's known to have a finite mean)?
The paper by Vehtari & al. <https://doi.org/10.1214/20-BA1221> offers "efficiency" estimates for the mean in the case of non-finite variance, as well as a method to find MC error intervals for quantiles. But I can't find there a method for MC standard error or error intervals for the *mean* in the case of non-finite variance.
Cheers!
#bayesian #bayes #mcmc @avehtari@bayes.club @avehtari@mastodon.social