A comparison of two Markov Chain Monte Carlo methods for sampling from unnormalized discrete distributions
| dc.contributor.advisor | Walker, Stephen G., 1945- | en |
| dc.contributor.committeeMember | Scott, James | en |
| dc.creator | Gillett, Carlos Townes | en |
| dc.date.accessioned | 2015-11-16T18:24:59Z | en |
| dc.date.available | 2015-11-16T18:24:59Z | en |
| dc.date.issued | 2015-05 | en |
| dc.date.submitted | May 2015 | en |
| dc.date.updated | 2015-11-16T18:24:59Z | en |
| dc.description | text | en |
| dc.description.abstract | This report compares the convergence behavior of the Metropolis-Hastings and an alternative Markov Chain Monte Carlo sampling algorithm targeting unnormalized, discrete distributions with countably infinite sample spaces. The two methods are compared through a simulation study in which each is used to generate samples from a known distribution. We find that the alternative sampler generates increasingly independent samples as the scale parameter is increased, in contrast to the Metropolis-Hastings. These results suggest that, regardless of the target distribution, our alternative algorithm can generate Markov chains with less autocorrelation than even an optimally scaled Metropolis-Hastings algorithm. We conclude that this alternative algorithm represents a valuable addition to extant Markov Chain Monte Carlo Methods. | en |
| dc.description.department | Statistics | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier | doi:10.15781/T25345 | en |
| dc.identifier.uri | http://hdl.handle.net/2152/32494 | en |
| dc.language.iso | en | en |
| dc.subject | Metropolis-Hastings | en |
| dc.subject | Bayesian inference | en |
| dc.subject | Unnormalized probabilities | en |
| dc.title | A comparison of two Markov Chain Monte Carlo methods for sampling from unnormalized discrete distributions | en |
| dc.type | Thesis | en |
| thesis.degree.department | Statistics | en |
| thesis.degree.discipline | Statistics | en |
| thesis.degree.grantor | The University of Texas at Austin | en |
| thesis.degree.level | Masters | en |
| thesis.degree.name | Master of Science in Statistics | en |