General methods for monitoring convergence of iterative simulations
General methods for monitoring convergence of iterative simulations
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DOI：
10.2307/1390675
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发表时间：
1998-12-01
影响因子：
2.4
通讯作者：
Gelman, A
中科院分区：
文献类型：
--
作者：
Brooks, SP;Gelman, A
我们推广了Gelman和Rubin（1992 a）提出的通过比较多个链的方差之间和方差内来监控迭代模拟收敛性的方法，以获得一族收敛性检验。我们回顾了旧的模拟推断方法，以开发与模拟使用目的相关的收敛监测摘要。我们建议应用一组测试混合的基础上比较的推断，从个别序列和序列的混合。最后，我们讨论了多元类似物，同时评估几个参数的收敛性。
We generalize the method proposed by Gelman and Rubin (1992a) for monitoring the convergence of iterative simulations by comparing between and within variances of multiple chains, in order to obtain a family of tests for convergence. We review methods of inference from simulations in older to develop convergence-monitoring summaries that are relevant for the purposes for which the simulations are used. We recommend applying a battery of tests for mixing based on the comparison of inferences from individual sequences and from the mixture of sequences. Finally, we discuss multivariate analogues, for assessing convergence of several parameters simultaneously.