Title
Fixed-Width Output Analysis for Markov Chain Monte Carlo
Speaker
Galin Jones, University of Minnesota
Abstract
Markov chain Monte Carlo is a method of producing a correlated sample from a target distribution. Features of the target distribution are then estimated via simple ergodic averages based on this sample. Thus a fundamental question in MCMC is when should the sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? I will introduce a method that stops the MCMC sampling when the volume of a confidence region based on the ergodic averages is less than a user-specified value. Hence calculating Monte Carlo standard errors of the ergodic averages is a critical step in assessing the output of the simulation. In this talk I will give an overview of fixed-volume methodology as well as methods for calculating Monte Carlo standard errors and the resulting confidence regions. I will then compare these methods from both theoretical and practical perspectives. The main results will be illustrated in several examples.
This talk is based on joint work with Brian Caffo of Johns Hopkins, Murali Haran of Penn State and Ronald Neath of Minnesota.
Meet the speaker in Room 212 Cockins Hall at 4:30 p.m. Refreshments will be served.
