A Coupling-Regeneration Scheme for Diagnosing Convergence in Markov Chain Monte Carlo Algorithms Academic Article uri icon

abstract

  • Here I propose a convergence diagnostic for Markov chain Monte Carlo (MCMC) algorithms based on couplings of a Markov chain with an auxiliary chain that is periodically restarted from a fixed parameter value. The diagnostic provides a mechanism for estimating the specific constants governing the rate of convergence of geometrically and uniformly ergodic chains, and provides a lower bound on the effective sample size of a MCMC run. It also provides a simple procedure for obtaining what is, with high probability, an independent sample from the stationary distribution. 1998 Taylor & Francis Group, LLC.

published proceedings

  • Journal of the American Statistical Association

altmetric score

  • 5.016

author list (cited authors)

  • Johnson, V. E.

citation count

  • 26

complete list of authors

  • Johnson, Valen E

publication date

  • January 1998