Nested R: assessing the convergence of Markov chain Monte Carlo when running many short chains

DOI10.1214/24-BA1453MaRDI QIDQ6858644zbMATH OpenFDO

Authors Charles C. Margossian, Matthew D. Hoffman, Pavel Sountsov, Lionel Riou-Durand, Aki Vehtari, Andrew Gelman

Publication date 12 February 2026

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bayesian-analysis/volume-20/issue-4/Nested-R%cb%86-Assessing-the-Convergence-of-Markov-Chain-Monte/10.1214/24-BA1453.full

zbMATH Keywords

\(\widehat{R}\) statisticBayesian inferenceconvergence diagnosticsMarkov chain Monte Carloparallel computation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(2)

• Robust estimation of a Markov chain transition matrix from multiple sample paths
• Adaptive Sequential Monte Carlo for Structured Cross Validation in Bayesian Hierarchical Models

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