Miscellanea. On quantile estimation and Markov chain Monte Carlo convergence
杂论:分位数估计与马尔可夫链蒙特卡洛收敛
In this paper we examine the method of Raftery & Lewis (1992) for estimating the convergence of Markov chain Monte Carlo, samplers when functionals of interest are in the form of parameter quantiles. Although popular, the method is commonly mis-applied to problems where quantiles are not of primary interest. We show how the method can be misleading in this case, and that it can seriously underestimate the true length of the burn-in. We provide a number of examples, comparing…