The Annals of Statistics

MCMC convergence diagnosis via multivariate bounds on log-concave densities

Stephen P. Brooks

Full-text: Open access

Abstract

We begin by showing how piecewise linear bounds may be devised, which bound both above and below any concave log-density in general dimensions. We then show how these bounds may be used to gain an upper bound to the volume in the tails outside the convex hull of the sample path in order to assess how well the sampler has explored the target distribution. This method can be used as a stand-alone diagnostic to determine when the sampler output provides a reliable basis for inference on the stationary density, or in conjunction with existing convergence diagnostics to ensure that they are based upon good sampler output. We provide an example and briefly discuss possible extensions to the method and alternative applications of the bounds.

Article information

Source
Ann. Statist. Volume 26, Number 1 (1998), 398-433.

Dates
First available in Project Euclid: 28 August 2002

Permanent link to this document
http://projecteuclid.org/euclid.aos/1030563991

Digital Object Identifier
doi:10.1214/aos/1030563991

Mathematical Reviews number (MathSciNet)
MR1608152

Zentralblatt MATH identifier
0961.65002

Subjects
Primary: 00A72: General methods of simulation 65C05: Monte Carlo methods
Secondary: 62F15: Bayesian inference 65C10: Random number generation

Keywords
Bounds estimation Markov chain Monte Carlo simulation tail probability

Citation

Brooks, Stephen P. MCMC convergence diagnosis via multivariate bounds on log-concave densities. Ann. Statist. 26 (1998), no. 1, 398--433. doi:10.1214/aos/1030563991. http://projecteuclid.org/euclid.aos/1030563991.


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