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Xi'an
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Two objections, at the very least:

  1. Running (many) chains in parallel reflects on the distribution of the starting values as we cannot be sure to "reach" stationarity for all of them in a finite number of steps. Hence a bias.

  2. Weighting MCMC values by their likelihood means the likelihood is counted twice (as a power of two!), since the values are approximately distributed from the posterior, i.e., the prior x the likelihood. Hence another bias.

Now importance sampling may be associated with MCMC, as we recently demonstrated.

Xi'an
  • 107.7k
  • 13
  • 190
  • 676