Reading 8: MCMC Algorithms and Considerations

Reading 8: MCMC Algorithms and Considerations#

For the class on Wednesday, February 5th

Reading assignments#

Read the following sections of [Owe13]: (Direct link to Chap. 11-12 PDF)

  • Sec. 11.10 “Burn-in”

  • Sec. 11.11 “Convergence diagnostics”

  • Sec. 11.12 “Error estimation”

  • Sec. 11.13 “Thinning”

  • Sec. 12.1 “Stationary distribution for Gibbs”

Questions#

Submit your answer on Canvas. Due at noon, Wednesday, February 5th.

  1. List anything from your reading that confuses you. Explain why they confuse you. If nothing confuses you, briefly summarize what you have learned from this reading assignment.

  2. List three issues that one might need to worry about when running a MCMC simulation, and one possible mitigation method for each issue.

    • If you list a jargon, use 1-2 sentences to briefly explain what it means.

    • There are certainly more than three potential issues. Just list three here.

    • There can be multiple possible mitigation methods for each issue. Just list one for each.