Optimal Thinning of MCMC Output
MCMC 输出的最优抽稀
Abstract The use of heuristics to assess the convergence and compress the output of Markov chain Monte Carlo can be sub-optimal in terms of the empirical approximations that are produced. Typically a number of the initial states are attributed to ‘burn in’ and removed, while the remainder of the chain is ‘thinned’ if compression is also required. In this paper, we consider the problem of retrospectively selecting a subset of states, of fixed cardinality, from the sample path…