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Subsample distribut...
Subsample distribution distance and McMC convergence
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- Hjorth, Urban, 1941 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology,University of Gothenburg,Chalmers Tekniska Högskola,Department of Mathematical Statistics, Chalmers University of Technology
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- Vadeby, Anna, 1969- (författare)
- Linköpings universitet,Matematisk statistik,Tekniska högskolan
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(creator_code:org_t)
- Wiley, 2005
- 2005
- Engelska.
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Ingår i: Scandinavian Journal of Statistics. - : Wiley. - 0303-6898 .- 1467-9469. ; 32:2, s. 313-326
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Abstract
Ämnesord
Stäng
- A new measure based on comparison of empirical distributions for sub sequences or parallel runs and the full sequence of Markov chain Monte Carlo simulations, is proposed as a criterion of stability or convergence. The measure is also put forward as a loss function when the design of a Markov chain is optimized. The comparison is based on a Kullback-Leibler (KL) type distance over value sets defined by the output data. The leading term in a series expansion gives an interpretation in terms of the relative uncertainty of cell frequencies. The validity of this term is studied by simulation in two analytically tractable cases with Markov dependency. The agreement between the leading term and the KL-measure is close, in particular when the simulations are extensive enough for stable results. Comparisons with established criteria turn out favourably in examples studied.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- convergence diagnostics
- Kullback-Leibler distance
- Markov chain Monte
- Carlo simulation
- parallel chains
- proposal distribution
- single chain
- chain monte-carlo
- Carlo simulation
- MATHEMATICS
- T Mathematics
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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