Inference from Iterative Simulation Using Multiple Sequences

@inproceedings{Gelman2008InferenceFI,
title={Inference from Iterative Simulation Using Multiple Sequences},
author={Andrew Gelman and Donald B. Rubin},
year={2008}
}

The Gibbs sampler, the algorithm of Metropolis, and similar iterative simulation methods are potentially very helpful for summarizing multivariate distributions. Used naively, however, iterative simulation can give misleading answers. Our methods are simple and generally applicable to the output of any iterative simulation; they are designed for researchers primarily interested in the science underlying the data and models they are analyzing, rather than for researchers interested in theâ€¦Â CONTINUE READING