Graphical Comparison of MCMC Performance

Details Graphical Comparison of MCMC Performance Graphical Comparison of MCMC Performance

2010-11-19

arxiv.org/abs/1011.4457v1

Statistics

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Scientific paper

This paper presents a graphical method for comparing performance of Markov Chain Monte Carlo methods. Most researchers present comparisons of MCMC methods using tables of figures of merit; this paper presents a graphical alternative. It first discusses the computation of autocorrelation time, then uses this to construct a figure of merit, log density function evaluations per independent observation. Then, it demonstrates how one can plot this figure of merit against a tuning parameter in a grid of plots where columns represent sampling methods and rows represent distributions. This type of visualization makes it possible to convey a greater depth of information without overwhelming the user with numbers, allowing researchers to put their contributions into a broader context than is possible with a textual presentation.

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