MCMC convergence diagnostics: A review. (With discussion). (English) Zbl 0957.62019

Mengersen, Kerrie L.; Robert, Christian P.; Guihenneuc-Jouyaux, Chantal

Bernardo, J. M. (ed.) et al., Bayesian statistics 6. Proceedings of the 6th Valencia international meeting, Alcoceber near Valencia, Spain, June 6-10, 1998. Oxford: Clarendon Press. 415-440 (1999).

Summary: This review paper aims at presenting the various convergence diagnostics available in the literature in a cohesive and conceptually consecutive manner. To this effect, we attempt classification according to several filters, as well as a description of a Web site, which aims at keeping track of the on-going research on the topic.
For the entire collection see [Zbl 0942.00036].

MSC:

62F15	Bayesian inference
65C40	Numerical analysis or methods applied to Markov chains

Keywords:

asymptotics; stationary distribution; ergodicity; renewal theory; CLT; parallel chains; mixing; subsampling; CODA; review