2010/11/19 by Madeleine B. Thompson, Thompson, Madeleine B. · 1 citation
Mathematics · #Computation (stat.CO) #FOS: Computer and information sciences #G.3 #stat.CO
paper · pdf · doi:10.48550/arxiv.1011.4457
arxiv created 2010/11/19 · arxiv updated 2010/11/22
This paper presents a graphical method for comparing performance of Markov Chain Monte Carlo methods. Most researchers present comparisons of MCMC methods using tables of figures of merit; this paper presents a graphical alternative. It first discusses the computation of autocorrelation time, then uses this to construct a figure of merit, log density function evaluations per independent observation. Then, it demonstrates how one can plot this figure of merit against a tuning parameter in a grid of plots where columns represent sampling methods and rows represent distributions. This type of visualization makes it possible to convey a greater depth of information without overwhelming the user with numbers, allowing researchers to put their contributions into a broader context than is possible with a textual presentation.