MCMC convergence diagnosis via multivariate bounds on log-concave densities

DOI10.1214/aos/1030563991zbMath0961.65002MaRDI 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 probability; numerical examples; inference; Markov chain Monte Carlo methods; convergence diagnostics; concave log-density; piecewise linear bounds

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62F15: Bayesian inference

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

Related Items

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

Uses Software

• Qhull

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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