Post-Processing of MCMC
Abstract
Markov chain Monte Carlo (MCMC) is the engine of modern Bayesian statistics, being used to approximate the posterior and derived quantities of interest. Despite this, the issue of how the output from a Markov chain is post-processed and reported is often overlooked. Convergence diagnostics can be used to control bias via burn-in removal, but these do not account for (common) situations where a limited computational budget engenders a bias-variance trade-off. The aim of this article is to review state-of-the-art techniques for post-processing Markov chain output. Our review covers methods based on discrepancy minimisation, which directly address the bias-variance trade-off, as well as general-purpose control variate methods for approximating expected quantities of interest.
Cite
@article{arxiv.2103.16048,
title = {Post-Processing of MCMC},
author = {Leah F. South and Marina Riabiz and Onur Teymur and Chris. J. Oates},
journal= {arXiv preprint arXiv:2103.16048},
year = {2021}
}
Comments
Version 3 is the accepted version. When citing this paper, please use the following: South, LF, Riabiz, M, Teymur, O & Oates, CJ. 2022. Post-Processing of MCMC. Annual Review of Statistics and Its Application. 9: Submitted. DOI: 10.1146/annurev-statistics-040220-091727