Abstract #300223

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JSM 2002 Abstract #300223
Activity Number: 339
Type: Invited
Date/Time: Wednesday, August 14, 2002 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing*
Abstract - #300223
Title: Practical Regeneration for Markov Chain Monte Carlo Simulation
Author(s): Anthony Brockwell*+ and Joseph Kadane
Affiliation(s): Carnegie Mellon University and Carnegie Mellon University
Address: 5000 Forbes Avenue, Pittsburgh, Pennsylvania, 15213-3890, USA
Keywords: splitting ; parallel processing ; burn-in ; Markov chain Monte Carlo ; regenerative simulation
Abstract:

Regeneration is a useful tool in Markov chain Monte Carlo simulation, since it can be used to side-step the burn-in problem and to construct estimates of the variance of parameter estimates themselves. Unfortunately, it is often difficult to take advantage of, since for most chains no recurrent atom exists, and it is not always easy to use Nummelin's splitting method to identify regeneration points. We describe a simple and practical method of obtaining regeneration in a Markov chain. The application of this method in simulation is discussed, and examples are given.

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