Construction of weakly CUD sequences for MCMC sampling
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.
Cite
@article{arxiv.0807.4858,
title = {Construction of weakly CUD sequences for MCMC sampling},
author = {Seth D. Tribble and Art B. Owen},
journal= {arXiv preprint arXiv:0807.4858},
year = {2008}
}
Comments
Published in at http://dx.doi.org/10.1214/07-EJS162 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)