MCMC convergence diagnosis via multivariate bounds on log-concave densities

DOI10.1214/aos/1030563991zbMath0961.65002OpenAlexW1973971683MaRDI QIDQ1807067

Stephen P. Brooks

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1030563991

zbMATH Keywords

tail probabilitynumerical examplesinferenceMarkov chain Monte Carlo methodsconvergence diagnosticsconcave log-densitypiecewise linear bounds

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (8)

Maximum likelihood estimation of a log-concave density and its distribution function: basic properties and uniform consistency ⋮ Multiscale sampling for the inverse modeling of partial differential equations ⋮ Estimation and inference by stochastic optimization ⋮ Inference and modeling with log-concave distributions ⋮ Log-concavity and strong log-concavity: a review ⋮ Multiscale maximum likelihood analysis of a semiparametric model, with applications. ⋮ Log-concavity for Bernstein-type operators using stochastic orders ⋮ Maximum Likelihood Estimation of a Multi-Dimensional Log-Concave Density

Uses Software

• Qhull

Cites Work

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• A geometric inequality and the complexity of computing volume
• Inference from iterative simulation using multiple sequences
• Rates of convergence of the Hastings and Metropolis algorithms
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Sampling-Based Approaches to Calculating Marginal Densities
• On the existence and uniqueness of the maximum likelihood estimates for certain generalized linear models
• The quickhull algorithm for convex hulls
• Adaptive Rejection Sampling for Gibbs Sampling
• Bayesian Inference for Generalized Linear and Proportional Hazards Models via Gibbs Sampling
• Stationarity detection in the initial transient problem

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