Ontology highlight
ABSTRACT:
SUBMITTER: Livingstone S
PROVIDER: S-EPMC9303935 | biostudies-literature | 2022 Apr
REPOSITORIES: biostudies-literature
Livingstone Samuel S Zanella Giacomo G
Journal of the Royal Statistical Society. Series B, Statistical methodology 20220111 2
There is a tension between robustness and efficiency when designing Markov chain Monte Carlo (MCMC) sampling algorithms. Here we focus on robustness with respect to tuning parameters, showing that more sophisticated algorithms tend to be more sensitive to the choice of step-size parameter and less robust to heterogeneity of the distribution of interest. We characterise this phenomenon by studying the behaviour of spectral gaps as an increasingly poor step-size is chosen for the algorithm. Motiva ...[more]