Subsample distribution distance and McMC convergence

DOI10.1111/J.1467-9469.2005.00424.XMaRDI QIDQ5467696zbMATH OpenOpenAlexWikidataFDO

Authors Urban Hjorth, Anna Vadeby

Publication date 24 May 2006

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9469.2005.00424.x

zbMATH Keywords

Bayesian estimationconvergencecusum methodKullback-Leibler distanceMarkov chain Monte Carlo methodparallel chainsproposal distributionsimulationwithin-between-variance method

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• scientific article; zbMATH DE number 1237740 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• On the Increments of Partial Sums of a \varphi-Mixing Sequence
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(8)

• MCMC convergence diagnosis via multivariate bounds on log-concave densities
• Revisiting the Gelman-Rubin diagnostic
• Subsampling MCMC -- an introduction for the survey statistician
• Diagnostics of convergence of an estimate of the marginal density via calibrated divergence measures
• scientific article; zbMATH DE number 1522711 (Why is no real title available?)
• MCMC diagnostics for higher dimensions using Kullback Leibler divergence
• A Hellinger distance approach to MCMC diagnostics
• Kolmogorov–Smirnov, Fluctuation, and Z_gTests for Convergence of Markov Chain Monte Carlo Draws

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