Output Assessment for Monte Carlo Simulations via the Score Statistic

@inproceedings{Y2006OutputAF,
  title={Output Assessment for Monte Carlo Simulations via the Score Statistic},
  author={Y. and Fan and S. P. and Brooks and A.. and Gelman},
  year={2006}
}
This article presents several applications of the score statistic in the context of output assessment for Monte Carlo simulations. We begin by observing that the expected value of the score statisticU is zero, and that when the inverse of the information matrix I = E(UU ) exists, the asymptotic distribution of U I−1U is χ. Thus, we may monitor the sample mean of this statistic throughout a simulation as a means to determine whether or not the simulation has been run for a sufficiently long time… CONTINUE READING
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