New answers tagged markov-chain-montecarlo
0
votes
Adjustment needed for multivariate Dvoretzky–Kiefer–Wolfowitz inequality on MCMC samples?
No, this isn't going to work in any straightforward way. The difference between IID and Markov Chain bounds is the whole problem. That is, going from bounds for a mean to bounds for an empirical CDF ...
- 32.9k
1
vote
How to diagnose HMC results like r-hat for a Mixture Model?
This is only a partial answer, but in general you can go a long way by adding an order constraint to your model: enforcing $\theta_1 \lt \theta_2 \lt\dots\lt \theta_k$. This is trickier to do if $\...
- 7,812
1
vote
Accepted
Jacobian and proposal ratio of Birth/death step in RJMCMC of Gaussian mixture model
For the birth step, we have to create $𝑤_{𝑗^∗}$ and $(μ_{𝑗^∗},σ_{𝑗^∗})$
pair and death step, pair of $𝑤_{𝑗^∗}$ and $(μ_{𝑗^∗},σ_{𝑗^∗})$ are
deleted.
Correct. However, the probability $A$ in (...
- 101k
1
vote
Assumptions and setting for bayesian mixture model (for RJMCMC)
When considering a random variable distributed from a mixture model
$$Y\sim\sum_{j=1}^k w_j f(y|\theta_j)\tag{1}$$
this random variable can be expressed as the marginal of a pair $(Y,Z)$ of random ...
- 101k
Top 50 recent answers are included