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吉布斯采样器收敛准则

Gibbs Sampler Convergence Criteria

Journal of the American Statistical Association · 1995
被引 21
ABS 4

中文导读

提出了三种新的吉布斯采样器收敛准则(DC2、RC2、ARC2),用于判断采样是否收敛且结果可靠,并通过实例演示其应用。

Abstract

Abstract This article presents new operational convergence criteria for the Gibbs sampler (GS) and related procedures that are useful for determining whether they not only have converged but also have converged to provide reliable results. Three GS convergence criteria are presented and applied: the difference convergence criterion (DC2), the ratio convergence criterion (RC2), and the anchored ratio convergence criterion (ARC2). Their uses and properties are discussed and examples are analyzed to illustrate their application.

贝叶斯统计计算经济学蒙特卡洛方法数值优化