Computational Statistics in Data Science. Группа авторов
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5.2 MCMC
Although both
If this rule is used for IID Monte Carlo, then
Thus, simulation is terminated when the number of effective samples is larger than the lower bound in Equation (7). Effective sample size measures the number of equivalent IID samples that would produce equivalent variability in
6 Workflow
We have presented tools for determining when to stop a Monte Carlo simulation. The workflow starts by identifying
In our examples, we assume that a CLT (or asymptotic distribution) for Monte Carlo estimators exists. However, extra care must be taken when working with a generic Monte Carlo procedure. Particularly, importance sampling can often yield estimators with infinite variances, where a CLT cannot hold. See Refs [3, 4] for more details. A CLT is particularly difficult to establish for MCMC due to serial correlation in the Markov chain. However, many individual Markov chains have been shown to be at least polynomially ergodic, for examples, see Jarner and Hansen [30], Roberts and Tweedie [31], Vats [32], Khare and Hobert [33], Tan et al. [34], Hobert and Geyer [35], Jones and Hobert [36].
A similar workflow can be adopted for embarrassingly parallel implementations of Monte Carlo samplers. Given the power of the modern personal computer, most Monte Carlo samplers can run on multiple cores simultaneously, producing more samples in the same clock time. For IID Monte Carlo, averaging estimators across all independent runs is reasonable. However, for estimating
Sequential stopping rules, particularly in MCMC, should not be implemented as a black‐box procedure. Each implementation of the stopping rule must be accompanied with visualizations that give qualitative insights about the quality of the samplers. A better quality sampler can significantly improve estimation and lead to smaller run times. We illustrate this point by comparing samplers in our examples.
7 Examples
7.1 Action Figure Collector Problem
Consider the general coupon collector problem [38] where the goal is to collect