Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods

DOI10.1016/j.csda.2005.04.018zbMath1445.62005MaRDI QIDQ959355

Bernard Bobée, Anne-Catherine Favre, Salaheddine El Adlouni

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.04.018

zbMATH Keywords

convergence; Gibbs sampler; subsampling; MCMC; Riemann sums; burn-in period

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Regularized Bayesian quantile regression, Bayesian networks: regenerative Gibbs samplings, Bayesian non-crossing quantile regression for regularly varying distributions, Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability, Estimating Bayes factors via thermodynamic integration and population MCMC, Non-parametric Bayesian estimation for multitype branching processes through simulation-based methods, Bayesian inversion using adaptive polynomial chaos kriging within subset simulation, Regenerative Markov Chain Monte Carlo for Any Distribution

Uses Software

• Gibbsit

Cites Work

• Unnamed Item
• Discretization and MCMC. Convergence assessment
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• Large sample confidence regions based on subsamples under minimal assumptions
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Simulation Run Length Control in the Presence of an Initial Transient
• Miscellanea. On quantile estimation and Markov chain Monte Carlo convergence
• Equation of State Calculations by Fast Computing Machines
• The Monte Carlo Method