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WIREs Comp Stat

Optimal Markov chain Monte Carlo sampling

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This article is a review article on the optimal Markov chain Monte Carlo (MCMC) sampling. The focus is on homogeneous Markov chains. This article first reviews the problem of finding the optimal transition matrix, which is defined to minimize the asymptotic variance of MCMC estimators. The article later reviews the locally optimal sampler (LOS), an MCMC sampling that performs local updates based on the optimal transition matrix. We conducted a simulation study to compare the LOS with the Metropolis–Hastings and the Gibbs Sampler. The LOS was shown to provide an improved rate of convergence over these two most popular sampling schemes. The implementation of the LOS requires only minor modifications in existing Gibbs sampling code. WIREs Comput Stat 2013. doi: 10.1002/wics.1265

Conflict of interest: The author has declared no conflicts of interest for this article.

The sample variances of the four MCMC algorithms for the following statistics: (a) the longest run length, (b) the number of runs, (c) the number of sites being 1, and (d) the longest run length of state 5.
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