"Optimal" thinning and burn-in

Open MichaelClerx opened this issue 5 years ago • 1 comments

Marina Riabiz, Wilson Chen, Jon Cockayne, Pawel Swietach, Steven A. Niederer, Lester Mackey, Chris. J. Oates (2020) Optimal Thinning of MCMC Output https://arxiv.org/abs/2005.03952

Looks at selecting an "optimal" subset of points from an MCMC run, considering burn-in and thinning. Python code is provided

May 18 '20 12:05 MichaelClerx

Published version (2022): https://rss.onlinelibrary.wiley.com/doi/10.1111/rssb.12503 Marina Riabiz, Wilson Chen, Jon Cockayne, Pawel Swietach, Steven A. Niederer, Lester Mackey, Chris. J. Oates (2022) Optimal Thinning of MCMC Output

Another paper: https://doi.org/10.1146/annurev-statistics-040220-091727 Leah F. South, Marina Riabiz, Onur Teymur, Chris J. Oates (2022) Postprocessing of MCMC

Apr 21 '22 15:04 MichaelClerx