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Regeneration in Markov Chain Samplers

 

作者: Per Mykland,   Luke Tierney,   Bin Yu,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1995)
卷期: Volume 90, issue 429  

页码: 233-241

 

ISSN:0162-1459

 

年代: 1995

 

DOI:10.1080/01621459.1995.10476507

 

出版商: Taylor & Francis Group

 

关键词: Gibbs sampling;Hybrid sampler;Markov chain Monte Carlo;Metropolis algorithm;Simulation output analysis;Split chain

 

数据来源: Taylor

 

摘要:

Markov chain sampling has recently received considerable attention, in particular in the context of Bayesian computation and maximum likelihood estimation. This article discusses the use of Markov chain splitting, originally developed for the theoretical analysis of general state-space Markov chains, to introduce regeneration into Markov chain samplers. This allows the use of regenerative methods for analyzing the output of these samplers and can provide a useful diagnostic of sampler performance. The approach is applied to several samplers, including certain Metropolis samplers that can be used on their own or in hybrid samplers, and is illustrated in several examples.

 

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