Quasi-reliable estimates of effective sample size

DOI10.1093/IMANUM/DRAA077MaRDI QIDQ5024892zbMATH OpenOpenAlexFDO

Authors Youhan Fang, Yudong Cao, Robert D. Skeel

Publication date 27 January 2022

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.03831

zbMATH Keywords

Markov chain Monte CarloBayesian inferencespectral gapconvergence diagnosticsintegrated autocorrelation time

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05)

Abstract: The efficiency of a Markov chain Monte Carlo algorithm might be measured by the cost of generating one independent sample, or equivalently, the total cost divided by the effective sample size, defined in terms of the integrated autocorrelation time. To ensure the reliability of such an estimate, it is suggested that there be an adequate sampling of state space--- to the extent that this can be determined from the available samples. A possible method for doing this is derived and evaluated.

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Cited in

(7)

• scientific article; zbMATH DE number 7234286 (Why is no real title available?)
• scientific article; zbMATH DE number 1222374 (Why is no real title available?)
• Monte Carlo errors with less errors
• scientific article; zbMATH DE number 927299 (Why is no real title available?)
• Sample size and the accuracy of a consistent estimator
• Markov Chain Sampling and the Product Estimator
• Rethinking the Effective Sample Size

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