Cited by 6,045Markov Chains and Monte Carlo MethodsStatistical Methods and Bayesian InferenceSimulation Techniques and Applications

General methods for monitoring convergence of iterative simulations

Brooks, Stephen P., Gelman, Andrew·1998·Journal of Computational and Graphical Statistics

Abstract

We generalize the method proposed by Gelman and Rubin (1992a) for monitoring the convergence of iterative simulations by comparing between and within variances of multiple chains, in order to obtain a family of tests for convergence. We review methods of inference from simulations in order to develop convergence-monitoring summaries that are relevant for the purposes for which the simulations are used. We recommend applying a battery of tests for mixing based on the comparison of inferences from individual sequences and from the mixture of sequences. Finally, we discuss multivariate analogues, for assessing convergence of several parameters simultaneously.

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Crossref · 10.1080/10618600.1998.10474787

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Authors
Brooks, S. P., & Gelman, A.
Affiliations
  • University of Bristol (GB)
  • Columbia University (US)
Venue
Journal of Computational and Graphical Statistics
Published
1998-12
Volume
7
Issue
4
Pages
434-455
ISSN
  • 1061-8600 (ISSN-L)
  • 1537-2715
OpenAlex
W2093223772
Cited by
6,045
References
28
Citations by year
2026: 321 · 2025: 371 · 2024: 394 · 2023: 381 · 2022: 341 · 2021: 445 · 2020: 435 · 2019: 370 · 2018: 329 · 2017: 276 · 2016: 305 · 2015: 300 · 2014: 250 · 2013: 244 · 2012: 249
FWCI
15.55
Type
journal article
Language
en
Open access
closed
Locations
  • Journal of Computational and Graphical Statistics (publishedVersion)
  • Bristol Research (University of Bristol) (submittedVersion)
Funders
  • National Science Foundation
  • KU Leuven
  • Engineering and Physical Sciences Research Council
Topics
  • Physical Sciences › Mathematics › Statistics and Probability › Markov Chains and Monte Carlo Methods
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Bayesian Inference
  • Social Sciences › Decision Sciences › Management Science and Operations Research › Simulation Techniques and Applications
Keywords
convergence monitoring, Markov chain Monte Carlo, mixing test, simulation-based inference

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