Visualizations for Assessing Convergence and Mixing of MCMC (2003)
AUTHORS:
Venna Jarkko,
Kaski Samuel,
Peltonen Jaakko
BOOKTITLE:
Proceedings of the 14th European Conference on Machine Learning (ECML 2003)
PAGES:
432--443
URL:
http://dx.doi.org/10.1007/10955628_39
@inproceedings{ Venna03ecml, editor = "Lavrac, N. and Gamberger, D. and Blockeel, H. and Todorovski, L.", author = "Venna, Jarkko and Kaski, Samuel and Peltonen, Jaakko", publisher = "Springer", title = "Visualizations for Assessing Convergence and Mixing of {MCMC}", url = "http://dx.doi.org/10.1007/10955628_39", booktitle = "Proceedings of the 14th European Conference on Machine Learning (ECML 2003)", address = "Berlin", abstract = "Bayesian inference often requires approximating the posterior distribution with Markov Chain Monte Carlo (MCMC) sampling. A central problem with MCMC is how to detect whether the simulation has converged. The samples come from the true posterior distribution only after convergence. A common solution is to start several simulations from different starting points, and measure overlap of the different chains. We point out that Linear Discriminant Analysis (LDA) minimizes the overlap measured by the usual multivariate overlap measure. Hence, LDA is a justified method for visualizing convergence. However, LDA makes restrictive assumptions about the distributions of the chains and their relationships. These restrictions can be relaxed by a recently introduced extension.", note = "Preprint postscript at \url{http://www.cis.hut.fi/projects/mi/papers/ecml03.ps.gz}", flags = "AIRC copy", year = "2003", impactfactor = "D3", pages = "432--443" }