In
a previous post, I discussed the bias of Markov Chain Monte Carlo (MCMC) simulation. In this post I will discuss the variance. Please see the previous post for information about the notation that I use.
If \begin{equation*}
S =\frac{1}{N} \sum_{t=1}^N f(X_t)
\end{equation*}
then for large $N$, the variance of $S$ is
