Measuring Sample Quality with Stein's Method

Measuring Sample Quality with Stein's Method

Neyman Seminar
Sep 9, 2015, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Lester Mackey, Stanford University
To improve the efficiency of Monte Carlo estimation, practitioners are turning to biased Markov chain Monte Carlo procedures that trade off asymptotic exactness for computational speed. The reasoning is sound: a reduction in variance due to more rapid sampling can outweigh the bias introduced. However, the inexactness creates new challenges for sampler and parameter selection, since standard...