Xi'an's Og

Iain Murray and Lloyd T. Elliott had posted this paper on arXiv just before I left for my U,K, 2012 tour and I did not have time to read it in detail, nor obviously to report on it. Fortunately, during the ICMS meeting, Iain presented an handmade poster on this paper that allowed me a quick tour, enough to report on the contents! The main point of the paper is that it is possible to modify many standard MCMC codes so that they can be driven by a dependent random sequence. The authors show that various if specific dependent sequences of uniform variates do not modify the right target and the ergodicity of the MCMC scheme. As mentioned in the conclusion of the paper, this may have interesting consequences in parallel implementations where randomness becomes questionable, or in physical random generators, whose independence may also be questionable…

This entry was posted on May 7, 2012 at 12:12 am and is filed under Statistics, Travel, University life with tags geometric ergodicity, Markov chain Monte Carlo, MCMC, pseudo-random generator, randomness. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.