Translator Disclaimer
2008 Construction of weakly CUD sequences for MCMC sampling
Seth D. Tribble, Art B. Owen
Electron. J. Statist. 2(none): 634-660 (2008). DOI: 10.1214/07-EJS162

Abstract

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.

Citation

Download Citation

Seth D. Tribble. Art B. Owen. "Construction of weakly CUD sequences for MCMC sampling." Electron. J. Statist. 2 634 - 660, 2008. https://doi.org/10.1214/07-EJS162

Information

Published: 2008
First available in Project Euclid: 30 July 2008

zbMATH: 1320.62055
MathSciNet: MR2426105
Digital Object Identifier: 10.1214/07-EJS162

Subjects:
Primary: 62F15
Secondary: 11K41, 11K45

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society

JOURNAL ARTICLE
27 PAGES


SHARE
Back to Top