MCMC diagnostics for higher dimensions using Kullback Leibler divergence

DOI10.1080/00949655.2017.1335313OpenAlexW2622459865MaRDI QIDQ5106960

Vivekananda Roy, Anand Dixit

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1335313

zbMATH Keywords

Monte CarloMCMCKullback Leibler divergenceadaptive kernel density estimationconvergence diagnostics

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Revisiting the Gelman-Rubin diagnostic

Uses Software

• Unnamed Item
• Mcmcpack
• Cubature
• pdfCluster
• adaptMCMC
• R2Cuba
• dismo
• Gibbsit

Cites Work

• Unnamed Item
• Cuba -- a library for multidimensional numerical integration
• An advancement in clustering via nonparametric density estimation
• Visualizations for assessing convergence and mixing of Markov chain Monte Carlo simulations
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• Inference from iterative simulation using multiple sequences
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Convergence Rates and Asymptotic Standard Errors for Markov Chain Monte Carlo Algorithms for Bayesian Probit Regression
• A Hellinger distance approach to MCMC diagnostics
• The Multiset Sampler
• Subsample distribution distance and McMC convergence

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