Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 2 (2008), 634-660.
Construction of weakly CUD sequences for MCMC sampling
In Markov chain Monte Carlo (MCMC) sampling considerable thought goes into constructing random transitions. But those transitions are almost always driven by a simulated IID sequence. Recently it has been shown that replacing an IID sequence by a weakly completely uniformly distributed (WCUD) sequence leads to consistent estimation in finite state spaces. Unfortunately, few WCUD sequences are known. This paper gives general methods for proving that a sequence is WCUD, shows that some specific sequences are WCUD, and shows that certain operations on WCUD sequences yield new WCUD sequences. A numerical example on a 42 dimensional continuous Gibbs sampler found that some WCUD inputs sequences produced variance reductions ranging from tens to hundreds for posterior means of the parameters, compared to IID inputs.
Electron. J. Statist., Volume 2 (2008), 634-660.
First available in Project Euclid: 30 July 2008
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62F15: Bayesian inference
Secondary: 11K45: Pseudo-random numbers; Monte Carlo methods 11K41: Continuous, $p$-adic and abstract analogues
Tribble, Seth D.; Owen, Art B. Construction of weakly CUD sequences for MCMC sampling. Electron. J. Statist. 2 (2008), 634--660. doi:10.1214/07-EJS162. https://projecteuclid.org/euclid.ejs/1217450798