7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <04

Fkdswhu < Rxwsxw Dqdo|vlv

<14 Lqwurgxfwlrq

Ohw [f @ {Efä > [• @ {E•ä = = = [ù @ {Eù ä eh d uhdolvdwlrq ri d krprjhqhrxv dqg uhyhuvleoh Pdunry
fkdlq/ rxwsxw e| vrph PFPF dojrulwkp zklfk zdv vhw xs wr vdpsoh d glvwulexwlrq T+{, rq vwdwhv
{ 5 ó1 Iru h{dpsoh i{E?äjù ?'f pljkw eh rxwsxw iurp rqh ri wkh iroorzlqj PFPF dojrulwkp*v=

41 wkh dojrulwkp vdpsolqj wkh srvwhulru iru wkh pdwul{ uhfrqvwuxfwlrq sureohp iurp urz dqg
froxpq vxpv/
51 wkh dojrulwkp vdpsolqj wkh qrupdo glvwulexwlrq1

Vxssrvh [ å T+=, lv d udqgrp yduldeoh wdnlqj ydoxhv lq ó1 D ixqfwlrq i+[, lv fdoohg d vwdwlvwlf1
Zh orrn wr wkh rxwsxw iru dqvzhuv wr txhvwlrqv olnh 3Zkdw lv wkh h{shfwhg ydoxh ri i+[,4 9 l1h1/
jlyh d ydoxh iru
[
ki+[,l ì i+{, Su+{,=
%Ml

Zh fdq hvwlpdwh wklv iurp wkh rxwsxw vdpsoh vhw i{E?ä jù

?'f 1 Wkh txdqwlw|
ù
ç E?ä ù 4 [
iù +i{ j?'f , ì i+{E?ä ,
Q ?'•

lv fdoohg dq hvwlpdwru ri ki+[,l1 Vlqfh wkh vdpsohv i{E?äjù ?'f duh uhdolvdwlrqv ri udqgrp yduldeohv
i[? jù / rxu hvwlpdwh/ çù +i[? jù ,/ lv lwvhoi d udqgrp yduldeoh1 Zh zloo jhw d gl>huhqw hvwlpdwh
i
?'f ?'f
ydoxh dw hdfk 3wuldo4/ wkdw lv/ hdfk wlph zh jdwkhu d uhdolvdwlrq i{E?äjù ù
?'f ri wkh u1y1 i[? j?'f 1

õ ôù
H{dpsoh 4 Li wkh {E?ä ?'f zhuh vdpsohg lqghshqghqwo| iurp d qrupdo glvwulexwlrq phdq ç/
S
yduldqfh â 2 / i +{, @ { dqg {
ç @ ? {E?ä @Q lv dq hvwlpdwru iru ç1 Lq wklv fdvh {
ç lv d qrupdo|
glvwulexwhg udqgrp yduldeoh zlwk phdq ç dqg yduldqfh â 2 @Q1

H{dpsoh 5 Xvlqj wkh rxwsxw lq fdvh +5, deryh/ ?qg d vwdwlvwlf jlylqj wkh suredelolw| iru wkh yduldeoh
dw sl{ho +m> n, wr wdnh wkh ydoxh {æ& @ ý41

Dqvzhu Li D dqg qrw0D duh wzr srvvleoh rxwfrphv ri d wuldo wkhq

&wlphv D rffxuhg
Su +hyhqw D, *
qxpehu ri wuldov
hvwlpdwhv wkh suredelolw| iru wkh hyhqw D1 Ohw i +{, @ L^{æ& @ ý4`/ l1h1/ i+{, lv wkh lqglfdwru
ixqfwlrq/ L^dvvhuwlrq` @ 3@4 li dvvhuwlrq lv wuxh2idovh1 Qrz
ù
ç 4 [ E?ä
iù @ L+{æ& @ ý4, +<14,
Q ?'•
õ ôù
&wlphv {æ& @ ý4 lq wkh vdpsohg vwdwhv {E?ä ?'f
@ +<15,
qxpehu ri vdpsohv
vr rxu vwdwlvwlf i @ L^{æ& @ ý4` jlyhv dq hvwlpdwru içù iru Su+{æ& @ ý4,
Krz jrrg dq hvwlpdwru iru ki +[,l lv iù B Wkhuh duh wzr lvvxhv=
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <05

41 V|vwhpdwlf huuru gxh wr lqlwldol}dwlrq eldv 9 l1h1/ grhv içù hvwlpdwh ki +[,l dw dooB Zh pd|
suryh wkdw äE?ä whqgv wr vrph ghvluhg xqltxh htxloleulxp glvwulexwlrq T +{, > krzhyhu zh kdyh
qrw vdlg krz odujh q qhhgv wr eh iru ä E?ä ä T +{, = Pxowl0prgdolw| lq T dqg exjv lq rxu
frpsxwhu surjudp fdq eh d sureohp khuh1

51 Dxwrfruuhodwlrq lq htxloleulxp 9 l1h1/ jlyhq ä E?ä @ T +{, > iru vrph q> krz dffxudwh lv içù
dv dq hvwlpdwru iru ki +[,lB Vdpsohv {E?ä > {E?n•ä duh kljko| fruuhodwhg1 Krz pdq| vdpsohv
vkrxog zh wdnh wr dfklhyh d jlyhq ohyho ri dffxudf|B

<15 Dxwrfruuhodwlrq lq htxloleulxp

Uhfdoo wkdw wkh yduldqfh ri d txdqwlw| lv d phdvxuh ri wkh yduldelolw| ri wkh txdqwlw| derxw lwv phdq1
Wkxv li { å T+{,/ dqg çs ì ki+[,l/
ó ò
ydu+i, @ i+[,2 ý ç2s

phdvxuhv wkh yduldqfh ri i lq vdpsohv { glvwulexwhg olnh T+{,1 Frqvlghu wkh txdqwlw| içù 1 ydu+içù ,
lv d phdvxuh ri wkh yduldelolw| ri rxu hvwlpdwru iru çs 1
Zh fdq txdqwli| wklv vwdwhphqw1 Lw lv nqrzq wkdw/ xqghu txlwh jhqhudo frqglwlrqv zklfk zh zloo qrw
ghwdlo +vhh h1j1 Jh|hu,/ iru Q vx!flhqwo| odujh/
ý ü
içù å Qrupdo kil > ydu+içù , +<16,

l1h1/ zkhq Q lv odujh/ rxu hvwlpdwh içù lv qrupdo| glvwulexwhg zlwk phdq kil dqg vrph yduldqfh
ydu+içù ,1 Htxdwlrq <16 lv xvxdoo| zulwwhq dv d wkhruhp frqfhuqlqj wkh olplw
s &
olp Q +içù ý ki l,$Qrupdo +3> f, +<17,
ù<"

&
zlwk f vrph srvlwlyh frqvwdqw/ lqghshqghqw ri Q 1 Wkh olplw 3$4 phdqv wkdw wkh glvwulexwlrq ri
wkh udqgrp yduldeoh rq wkh ohiw whqgv wr wkh glvwulexwlrq rq wkh uljkw/ l1h1/ qrupdo/ phdq }hur1
Htxdwlrq <17 lv d vwdwhphqw ri d 3fhqwudo olplw wkhruhp4 frqfhuqlqj wkh glvwulexwlrq ri içù 1
ç • Sù
Li i{E?ä jù
?'f zhuh lqghshqghqw vdpsohv dqg iù ì ù ?'• i+{
E?ä
, wkhq

ydu+içù , @ ydu+i ,@Q +<18,

Krzhyhu i{E?ä jù
?'f lv d vhtxhqfh ri fruuhodwhg vdpsohv iurp d Pdunry fkdlq1 Zh zloo vhh wkdw

ás ydu+i,
ydu+içù , @ +<19,
Q
zkhuh ás lv d qxpehu fkdudfwhulvwlf ri wkh wudqvlwlrq pdwul{ ri wkh Pdunry fkdlq xvhg wr jhqhudwh
wkh vhtxhqfh i{E?ä jù
?'f 1 Lw iroorzv iurp Htxdwlrq <19 wkdw f @ ás ydu+i, lqghshqghqw ri Q/ lq
Htxdwlrq <171
Lqwhusuhwdwlrq= Lq Htxdwlrq <18 wkh yduldqfh ri içù jrhv grzq olnh 4@Q / zkhuh Q lv wkh qxpehu
ri lqghshqghqw vdpsohv1 Lq Htxdwlrq <18 wkh yduldqfh ri içù jrhv grzq olnh ás @Q 1 Khqfh ás lv wkh
qxpehu ri fruuhodwhg vdpsohv zlwk wkh vdph yduldqfh0uhgxflqj srzhu dv rqh lqghshqghqw vdpsoh1
Wkh txdqwlw| ás lv fdoohg wkh lqwhjudwhg dxwrfruuhodwlrq wlph +LDFW/ lq sk|vlfv olwhudwxuh, ru
dxwrfryduldqfh wlph +vwdwlvwlfv olwhudwxuh,1
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <06

s
Ohw âs7ù ì ydu+içù , ghqrwh wkh vwdqgdug ghyldwlrq ri rxu hvwlpdwh içù 1 Zh duh dvvxplqj Q lv
odujh hqrxjk wkdw wkh FOW zh txrwhg kdv vhw lq dqg içù lv qrupdo| glvwulexwhg1 Zh xvh doo ri wklv
lqirupdwlrq zkhq zh sxw huuru0eduv rq içù = zh uhsruw vrphwklqj olnh 3zh phdvxuhg i dqg rewdlqhg
d phdq ri içù ÷ 5âs7ù dw <8( frq?ghqfh41
Iru d jlyhq htxloleulxp glvwulexwlrq T+{,/ zh zrxog olnh wr ghvljq d fkdlq iru zklfk ás lv dv vpdoo
dv srvvleoh/ vr wkdw zh jhw dffxudwh hvwlpdwhv +vpdoo âs7ù , zlwkrxw qhhglqj odujh vdpsoh vl}hv Q 1

<16 Fdofxodwlqj wkh lqwhjudwhg dxwrfruuhodwlrq wlph

Wkh fryduldqfh fry+i> j, ri wzr txdqwlwlhv i dqg j lv d phdvxuh ri wkhlu fruuhodwlrq1 Ohw P @
ù3•
i[? j?'f eh d vhtxhqfh ri Q vwdwlrqdu| udqgrp yduldeohv lq vrph jlyhq krprjhqhrxv Pdunry
fkdlq zlwk htxloleulxp glvwulexwlrq T/ l1h1/ [f å T/ vr wkdw doo wkh u1y1 lq wkh vhtxhqfh duh
glvwulexwhg dffruglqj wr wkh htxloleulxp glvwulexwlrq1 Lq whupv ri vrph vwdwlvwlf i+[,/ ohw

Fs s +v, ì fry +i+[? ,> i+[?nr ,, +<1:,

ì ki+[? ,i+[?nr ,l ý ç2s +<1;,

eh wkh dxwrfryduldqfh ixqfwlrq +DFI, dw odj v/ l1h1/ Fss +v, lv wkh fryduldqfh ehwzhhq wkh ydoxhv
wdnhq e| i iru wzr u1y1 [? dqg [?nr lq wkh fkdlq vhsdudwhg e| v xsgdwhv1 Vlqfh wkh fkdlq lv
krprjhqhrxv dqg lwv glvwulexwlrq lv vwdwlrqdu|/ Fs s +v, ghshqgv rqo| rq v dqg qrw rq q1 Iru d
Pdunry fkdlq/ wklv jhwv odujhu wkh forvhu wkh wzr vwdwhv duh wrjhwkhu1 Li zh gh?qh d qrupdolvhg
dxwrfryduldqfh ixqfwlrq/ ãss +v, yld

ãs s +v, @ Fs s +v,@Fs s +3,

@ Fs s +v,@ydu+i ,

wkhq ãs s +3, @ 4 9 vr i+[? , lv shuihfwo| fruuhodwhg zlwk lwvhoi$ Zh h{shfw ãs s +v, $ 3 prqrwrqlfdoo|
dv v $ 4 +vhh Iljxuh <14,1 Qrwh wkdw vrph dxwkruv uhihu wr Fs s dv wkh 3dxwrfruuhodwlrq ixqfwlrq4
dowkrxjk zh uhvhuyh wklv xvdjh iru wkh fdvh zkhuh wkh phdqv kdyh qrw ehhq vxewudfwhg1 Zh zloo

1
ρff

M s
Iljxuh <14 Wkh qrupdolvhg dxwrfryduldqfh ixqfwlrq ãss +v,1

dvvxph wkdw iru vrph P vx!flhqwo| odujh ãss +v, * 3 zkhq v è P1 Zh zloo dvvxph dovr wkdw
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <07

Q P/ vr wkdw wkh ?uvw {Efä dqg odvw {Eù ä vdpsohv duh wrwdoo| xqfruuhodwhg1 Zh zloo vkrz wkdw
xqghu wkrvh dvvxpswlrqv ydu+içù , @ ás ydu+i,@Q / dv dvvhuwhg lq Htxdwlrq <191
ý ü ó ò ó ò2
ydu içù @ içù2 ý içù +<1<,
-# ù
$ # ù
$. - ù
.2
4 [ 4 [ 4 [
@ i +[? , i +[6 , ý i +[? , +<143,
Q ?'• Q 6'• Q ?'•
ù ù
4 [[ ó ò
@ 2
ki +[6 , i +[? ,l ý i 2 +<144,
Q ?'• 6'•

vlqfh ki +[? ,l @ kil/ lqghshqghqw ri q/ li wkh fkdlq lv krprjhqhrxv dqg vwdwlrqdu|1 Qrz/ li P á Q>
% &
[ù [ ù ù
[ [ G
ù3• í ìH
ki +[6 , i +[? ,l ä ki +[? , i +[? ,l . 5 i +[? , i {E?nrä +<145,
?'• 6'• ?'• r'•
ù
% ù3•
&
[ 2
[ 2
@ Fs s +3, . kil . 5 Fs s +v, . kil +<146,
?'• r'•

dqg vr/
ù ù[3•
ý ü 4 [
ydu içù @ 2 ydu+i, . 5 Fss +v, +<147,
Q ?'• r'•
ù
% •
&
ydu+i, [ [
* 4.5 ãs s +v, +<148,
Q 2 ?'• r'•
ydu+i,ás
* +<149,
Q
dv dvvhuwhg lq wkh suhylrxv vhfwlrq/ zlwk
"
[
ás ì 4 . 5 ãs s +v,=
r'•

ás lv wkh lqwhjudo ri wkh qrupdol}hg dxwrfryduldqfh ixqfwlrq ãss +v,/ ehfdxvh ãs s +v, @ ãs s +ýv,/ dqg
ãss +3, @ 41 Wr hvwlpdwh ás iurp wkh rxwsxw i{E?ä jù
?'• ri dq PFPF dojrulwkp/ zh hvwlpdwh Fs s +v,
e|
%ù &
4 [ù í ì í ì 4 [ í ì 2
Fçs s +v, @ i {E?ä i {E?nrä ý 2 i {E?ä
Q ?'• Q ?'•

dqg wkhq frpsxwh dq hvwlpdwh ãçss +v, iru ãs s +v, dv deryh1 D sureohp uhpdlqv1
Vlqfh Q lv ?qlwh/ wkh hvwlpdwhv ãçs s +v, duh qrlv|1 Zh h{shfw ãs s +v, * 3 zkhq v è P/ vr wkh vljqdo
jrhv wr }hur/ dqg dw odujh v/ v è P vd|/ ãçs s +v, lv sxuh qrlvh1 Li zh zhuh wr irup rxu hvwlpdwh áçs iru
ás e| vxpplqj ryhu doo v/ lqfoxglqj v è P/ zh zrxog eh dgglqj qrlvh dqg qr vljqdo wr rxu hvwlpdwh
iru ás 1 Zh pxvw wuxqfdwh wkh vxp ryhu ãçss +v, dw v @ P 1 Zh pxvw ghflgh iurp wkh gdwd dw zkdw
odj v qrlvh ehjlqv wr grplqdwh1 Wkhuh duh vhyhudo dssurdfkhv1 Wkh phwkrg rxwolqhg lq Jh|hu lv
sudfwlfdo/ dv zhoo dv ehlqj wkhruhwlfdo| zhoo prwlydwhg1 Zhoo whvwhg vriwzduh h{lvwv wr hvwlpdwh doo
wkh txdqwlwlhv gh?qhg lq wklv vhfwlrq1 Vhh iru h{dpsoh frgh dydlodeoh wkurxjk wkh U sdfndjh1

H{dpsoh 6 Zh zloo looxvwudwh rxwsxw dqdo|vlv rq wkh rxwsxw ri wkh PFPF dojrulwkp jlyhq rq sdjh
:056/ iru vdpsolqj wkh qrupdo glvwulexwlrq zlwk d phdq ç @ 6 dqg vwdqgdug ghyldwlrq â @ 41
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <08

Converging MCMC for Normal distribution

14.0

12.0

10.0
Xn − MCMC state

8.0

6.0

4.0

2.0

0.0
0 50 100 150 200
MCMC updates
Iljxuh <15 Wkh frqyhujlqj vhtxhqfh ri PFPF xsgdwhv1

D uhdolvdwlrq ri ohqjwk 43333 xsgdwhv zdv rewdlqhg1 Wkh ?uvw 533 xsgdwhv +vhh Iljxuh <15, zhuh
glvfdughg/ wr doorz wlph iru äE?ä / wkh glvwulexwlrq ri wkh Pdunry fkdlq u1y1 dw vwhs q/ wr frqyhujh
wr lwv htxloleulxp glvwulexwlrq/ zklfk/ lq wklv fdvh/ lv wkh qrupdo glvwulexwlrq1 Wkh ixoo rxwsxw lv
judskhg lq Iljxuh <161 Vr zh kdyh d vdpsoh vhtxhqfh i{E?ä j?'•ffff
?'2ff ri ohqjwk Q @ <;331 Wkh
E?ä
phdq ri wkh { zdv { ç * 6=359 +l1h1/ i+{, @ { deryh vr wkdw ç @ kil dqg { ç ì içù ,1 Wkh yduldqfh
2 2
+l1h1/ â @ ydu+{, deryh, zdv hvwlpdwhg dw â ç * 3=<:1 Lq rughu wr ghwhuplqh wkh yduldqfh ri { ç wkh
qrupdolvhg DFI ãç%% +v, zdv hvwlpdwhg iurp wkh vdph rxwsxw gdwd/ dv deryh1 Wklv hvwlpdwhg DFI
lv sorwwhg lq Iljxuh <171 á% zdv fdofxodwhg xvlqj wkh hvwlpdwru/
•
[
áç% @ 4 . 5 ãç%% +v,
r'•

zlwk P @ 56 +vhh Iljxuh <17,1 Wklv jdyh dq hvwlpdwh ri áç * 47=8 iru á 1 Wklv phdqv wkdw lw wdnhv
durxqg ?iwhhq xsgdwhv ri wkh PFPF wr jlyh rqh h>hfwlyh lqghshqghqw vdpsoh1 Qrz zh hvwlpdwh

ç 2 áç%
â
ydu+ç
{, @ * 3=3347
Q
Vr zh pljkw uhdvrqdeo| uhsruw

{
ç @ 6=36 ÷ 3=3;
s
dw <8( frq?ghqfh +zkhuh 3=3; * 5 3=3347,1

H{huflvh <1614 Krz frxog zh fkhfn wkh uhvxow iru ydu+ç

{,/ xvlqj 43 lqghshqghqw uxqv ri ohqjwk
43333 B

Dqvzhu Wdnlqj wkh rxwsxw iurp hdfk ri wkh 43 uxqv zh irup 43 lqghshqghqw hvwlpdwhv {
ç• > {
ç2 = = = {
ç•f 1
Dffruglqj wr wkh FOW zh txrwhg lq Htxdwlrq <17 wkhvh hvwlpdwhv vkrxog eh vfdwwhuhg derxw ç zlwk
d qrupdo glvwuxexwlrq zlwk yduldqfh htxdo durxqg derxw ydu+ç
{, @ 3=33471
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <09

MCMC sequence for Normal distribution

8.0

6.0
Xn − MCMC state

4.0

2.0

0.0

−2.0
0 2000 4000 6000 8000 10000
MCMC updates
Iljxuh <16 Wkh vhtxhqfh ri 43333 PFPF xsgdwhv rxwsxw1

Qrwh= Li lwv vr hdv| wr hvwlpdwh wkh yduldqfh ri { ç e| uhshdwlqj wkh uxq/ zk| erwkhu zlwk wkh
fdofxodwlrq ri ás B Ehfdxvh lw lv rqo| e| xvlqj doo |rxu gdwd |rx jhw doo wkh dffxudf| dydlodeoh1 Dovr/
sorwwlqj ãçs s +v, lv d vhqvleoh zd| wr fkhfn iru frqyhujhqfh1
Lq sudfwlfh zh duh lqwhuhvwhg lq jhwwlqj ydu+içù , grzq dv vpdoo dv srvvleoh +l1h1/ jhwwlqj dffxudwh
hvwlpdwhv,1 Zh fdq gr wklv e| wdnlqj pruh vdpsohv1 Zh fdq dovr orrn dw wkh h!flhqf| ri rxu
dojrulwkp1 Zh duh iuhh wr fkrrvh wkh fdqglgdwh jhqhudwlrq suredelolw| j+{â m{,/ dqg wklv kdv d elj
h>hfw rq wkh udwh dw zklfk fruuhodwlrqv glh rxw dorqj wkh fkdlq1 Jrrg dojrulwkpv kdyh vpdoohu
LDFW ás / vlqfh wklv ohdgv wr vpdoohu ydoxhv ri ydu+içù , iru jlyhq vdpsoh vl}h Q1 Qrz ás lv phdvxuhg
lq PFPF xsgdwhv1 Dq xsgdwh wdnhv d fhuwdlq dprxqw ri FSX wlph1 Vr uhdoo| zh zdqw ás vpdoo lq
FSX vhfrqgv1 Li vrph idqf| dojrulwkp kdg d vpdoo ás 0ydoxh/ exw hdfk xsgdwh wrrn dorw ri wlph wr
frpsxwh/ wkh dffxudf| ri hvwlpdwhv zrxog vwloo rqo| lpsuryh vorzo|1 Wklv lv zk| vlpsoh dojrulwkpv
+l1h1/ vlpsoh fkrlfhv iru wkh fdqglgdwh jhqhudwlrq suredelolw| j+{â m{,, duh kdug wr ehdw1

H{dpsoh 7 Lq wkh PFPF dojrulwkp vdpsolqj wkh qrupdo glvwulexwlrq/ zh jhqhudwhg fdqglgdwh
vwdwhv xvlqj J+g{â m{, @ g{â @5â/ l1h1/ wkh qhz vwdwh zdv fkrvhq xqlirupo| rq wkh lqwhuydo ^{ýd> {.d`
zlwk d @ â1 Fdq zh uhgxfh ás e| xvlqj vrph rwkhu ydoxh ri d B

Wkh fruh orrs ri rxu vdpsohu +sdjh :056, lv hvvhqwldoo| xqfkdqjhg

1
1
d@lqsxw+*hqwhu mxpsvl}h *,> (hqwhu ccd** xvhg lq jhqhudwlrq vwhs
iru n@4=Q
{s@{.+5-d-udqg+4/4,0d,> (jhqhudwh fdqglgdwh zlwk mxpsvl}h ccd**
udwlr@h{s+0++{s0px,a50+{0px,a5,2+5-vljpda5,,>
li udqg+4/4,?udwlr
{@{s>
hqg>
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <0:

Normalised Autocovariance function ρff(s)

1.0

normalised ACF ρff(s)

0.5

0.0

0.0 50.0 100.0 150.0 200.0

Lag s in MCMC updates
Iljxuh <17 Wkh qrupdolvhg dxwrfryduldqfh ixqfwlrq ri wkh PFPF1

[q+n,@{>
hqg>
1
1

Wklv PFPF dojrulwkp vlpxodwhv d Pdunry fkdlq zlwk wkh qrupdo glvwulexwlrq dv lwv htxloleulxp
glvwulexwlrq iru d dq| qrq0}hur uhdo qxpehu1 Vxssrvh wkh phdq ç @ 6 dqg vwdqgdug ghyldwlrq â @ 4
dv ehiruh1 Iru hdfk ri d vhtxhqfh ri d0ydoxhv zh uxq wkh PFPF dqg dqdo|vh wkh rxwsxw/ frpsxwlqj
á% +d,1 Lq Iljxuh <18/ á% lv sorwwhg djdlqvw d1 Wkh LDFW lv plqlplvhg e| d ydoxh ri mxpsvl}h ri
durxqg d @ 6=81 Wklv whoov xv wkdw wkh fkdlq rxwsxwv wkh juhdwhvw qxpehu ri h>hfwlyho| lqghshqghqw
vdpsohv shu Q xsgdwhv zkhq wkh mxpsvl}h lv durxqg 6=81
Lqwhusuhwdwlrq Uhihuulqj wr Iljxuh <19/ zkhq d á â/ wkh fdqglgdwh vwdwh {â * {/ dqg lq wkh
dffhswdqfh udwlr h{s+ý+{â ý ç,2 @5â2 . +{ ý ç,2 @5â 2 , * 4/ dqg khqfh ò * 41 Prvw xsgdwhv duh
dffhswhg/ exw vlqfh wkh mxps iurp { wr {â lv vpdoo wkh fkdlq pryhv vorzo| wkurxjk ó dqg wkh u1y1
[? dqg [?n• duh kljko| fruuhodwhg1 Rq wkh rwkhu kdqg zkhq d â/ {â zloo riwhq eh vhohfwhg zhoo
rxwvlgh wkh lqwhuydo ^ç ý 6â> ç . 6â` zkhuh doo wkh suredelolw| pdvv lv frqfhqwudwhg1 Wkh udwlr ri
wkh qhz dqg rog suredelolw| ghqvlwlhv zloo eh vpdoo/ dqg wkh dffhswdqfh suredelolw| ò zloo eh vpdoo1
Dowkrxjk wkh fkdlq pdnhv odujh krsv zkhq lw grhv pryh/ wkhuh duh wrr pdq| uhmhfwlrqv= [? dqg
[?n• duh kljko| fruuhodwhg/ ehfdxvh wkh| duh riwhq htxdo $
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <0;

MCMC efficiency

20

15
IACT τx

10

0
0 2 4 6 8
jump−size a
Iljxuh <18 Wkh qrupdolvhg dxwrfryduldqfh ixqfwlrq ãss +v,1

<17 Lqlwldolvdwlrq eldv

Vxssrvh zh kdyh dq PFPF dojrulwkp zlwk lqwhqghg htxloleulxp glvwulexwlrq T+{,1 Zh kdyh vhhq
+Iljxuh <15, wkdw wkh lqlwldo vdpsohv jhqhudwhg e| PFPF duh qrw uhsuhvhqwdwlyh ri wkh htxloleulxp
glvwulexwlrq1 Krz orqj vkrxog zh vlpxodwh ehiruh ehjlqqlqj wr wdnh vdpsohvB Wkhuh lv qr jhqhudo
vroxwlrq wr wkh sureohp1 D qryho whfkqltxh fdoohg 3H{dfw vlpxodwlrq4 r>huv d frpsohwh vroxwlrq
iru fhuwdlq PFPF dojrulwkpv dqg fhuwdlq htxloleulxp glvwulexwlrqv +Surss dqg Zlovrq 4<<8,/
lqfoxglqj vhyhudo ri lpsruwdqfh lq vwdwlvwlfdo phfkdqlfv1
Wkh xvxdo dssurdfk lv wr prqlwru wkh ehkdylru ri vrph vwdwlvwlf +iru h{dpsoh/ t+{E?ä ,/ zkhuh
T+{, @ h{s+ýt+{,,@], dqg gurs vdpsohv iurp wkh sduw ri wkh uxq zkhuh t+{E?ä , lv frqyhujlqj
wr lwv htxloleulxp udqjh1 Uhihuulqj wr wkh PFPF rxwsxw lq Iljxuh <1:/ rxu rxwsxw vdpsoh zrxog
frqvlvw ri {E?ä iru q è n rqo|1 Zh duh dvvxplqj wkdw/ iru q è n [? å T/ l1h1/ äE?ä @ T iru q è n1
Li wkh wrwdo uxq ohqjwk Q n wklv kdv d qhjoljdeoh h>hfw rq hvwlpdwhv/ l1h1/
ù
4 [
içù 3& @ i+{E?ä ,
Q ýn
?'&

zkhq wkh ?uvw n vdpsohv duh gursshg1

<18 Vwlfnlqj dqg pxowlprgdolw|

Zh gr qrw nqrz zkhq wkh fkdlq kdv uhdfkhg htxloleulxp1 Frqvlghulqj Iljxuh <1; lw lv fohdu wkdw dq|
mxgjhphqw edvhg rq rxwsxw pd| eh suhpdwxuh1 Lw pd| eh wkdw wkh jhqhudwlrq suredelolw| j+{â m{,
fdq wdnh wkh fkdlq wr dq| vwdwh lq wkh vwdwh vsdfh ó/ exw vhfwlrqv ri ó frppxqlfdwh rqo| wkurxjk
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <0<

MCMC output Autocovariance function

10.0 1.0

A1 A2
5.0
0.5

0.0

0.0

−5.0
0 100 200 300 400 0 20 40 60
10.0 1.0

B1 B2
5.0
0.5

0.0

0.0

−5.0
0 100 200 300 400 0 20 40 60
10.0 1.0

C1
Normalised ACF ρff(s)

C2
MCMC state Xn

5.0
0.5

0.0

0.0

−5.0
0 100 200 300 400 0 20 40 60
MCMC updates lag s updates

Iljxuh <19 +D4, PFPF rxwsxw iru d @ 4 +D5, qrupdolvhg dxwrfryduldqfh ixqfwlrq ã%% +v, iru d @ 41
Dowkrxjk wkhuh lv d kljk suredelolw| ri dffhswdqfh/ wkh vdpsoh sdwk vkrzv vwurqj fruuhodwlrq iurp
rqh xsgdwh wr wkh qh{w1 +E4, PFPF rxwsxw iru d @ 6=8 +E5, ã%% +v, iru d @ 6=81 Wkh qrupdol}hg
dxwrfryduldqfh ã%% +v, ehwzhhq [? dqg [?nr qrz idoov r> udslgo| zlwk lqfuhdvlqj odj v1 +F4, rxwsxw
iru d @ ; Wkh vwhsshg dsshdudqfh ri wkh rxwsxw uh hfwv wkh orz dffhswdqfh udwh +F5, ã%% +v, iru d @ ;/
wkh fruuhodwlrq ehwzhhq vwdwhv lq wkh fkdlq glhv r> vorzo|1

vwdwhv ri yhu| orz dffhswdqfh suredelolw|1 Wkh fkdlq pd| eh vwxfn lq wkh ylflqlw| ri rqh prgh li
T+{, lv d pxowlprgho glvwulexwlrq1

H{dpsoh 8 Vxssrvh T+[ 5 g{, lv wkh vxp ri wzr qrupdo glvwulexwlrqv zlwk phdqv ç• dqg ç2
+ç2 A ç• , dqg hdfk kdylqj wkh vdph vwdqgdug ghyldwlrq â1 Vr/ li T+[ 5 g{, @ t+{,g{/ wkh ghqvlw|
lv
4 í 2 2
ì
t+{, @ s h3E%3>• ä*2j . h3E%3>2 ä*2j =
5 5äâ 2

Zh zloo vxssrvh wkdw wkh wzr qrupdo glvwulexwlrqv duh 3vhsdudwhg4 lq wkh vhqvh wkdw ç2 ýç• â1 Vhh
Iljxuh <1<1 Qrz/ iru rxu PFPF dojrulwkp zlwk htxloleulxp T+{, zh pljkw fkrrvh wkh iroorzlqj=

Ohw [? @ {1 [?n• lv ghwhuplqhg lq wkh iroorzlqj zd|1

41 fkrrvh {â xqlirupo| lq dq lqwhuydo ^{ ý d> { . d` fhqwhuhg dw {1 Wkxv {â å g{â @5d dqg wkh ghqvlw|
4@5d lv +wulyldoo|, v|pphwulf lq { dqg {â 1
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <043

X
n

k MCMC update n
Iljxuh <1: D PFPF dojrulwkp vwduwhg dw dq xquhsuhvhqwdwlyh vwdwh frqyhujhv wr lwv htxloleulxp udqjh1

X
n

k? MCMC update n k?
Iljxuh <1; Wkh fkdlq pd| dsshdu wr eh lq htxloleulxp/ zkhq lw lv lq idfw lq d phwdvwdeoh vwdwh1

51 Zlwk suredelolw|
+ ý ü,
h{s ý+{â ý ç• ,@5â 2 , . h{s+ý+{â ý ç2 ,@5â 2
ò @ plq 4>
h{s +ý+{ ý ç• ,@5â 2 , . h{s+ý+{ ý ç2 ,@5â2 ,

vhw [?n• @ {â 1 Rwkhuzlvh zh vhw [?n• @ {1

Wklv dojrulwkp kdv d vwudljkwiruzdug Pdwode lpsohphqwdwlrq1 Wkh fkrlfhv ç• @ ý7> ç2 @ 7 dqg
â @ 4 jlyh d zlgh uhjlrq ri orz suredelolw| ehwzhhq oxpsv1 Vdpsoh rxwsxw iru wkhvh sdudphwhu
ydoxhv dqg d udqjh ri mxpsvl}hv d lv vkrzq lq Iljxuh <143/ dorqj zlwk dxwrfryduldqfh ixqfwlrqv1
Hujrglflw| lv h>hfwlyho| orvw iru d ohvv wkdq durxqg 71 Wkh yhu| vorzo| idoolqj dxwrfryduldqfh ixqfwlrq
iru d @ 7/ plggoh urz uljkw/ lqglfdwhv wklv1 Krzhyhu dw d @ 4 wkh rxwsxw lv jlylqj wkh looxvlrq ri dq
hujrglflw| wkdw lv qrw suhvhqw 0 wkhuh lv qr vljq ri vwdwhv dw ydoxhv { @ 7 hyhq wkrxjk wkh| krog kdoi
wkh suredelolw| pdvv1 Wkh PFPF lv vwxfn lq wkh prgh durxqg { @ ý71

<19 Jrrg kdelwv

Zh kdyh vhhq wkdw wkhuh lv qr jxdudqwhhg dghtxdwh rxwsxw dqdo|vlv1 Lq sduwlfxodu/ sudfwlfdo frq0
yhujhqfh fdqqrw eh ghprqvwudwhg lq jhqhudo1 Wkh iroorzlqj surfhhgxuh lv krzhyhu riwhq vx!flhqw1

41 Wdnh d vlqjoh orqj uxq/ ri ohqjwk Q / gursslqj vwdwhv iurp wkh vwduw ri wkh uxq/ dqg hvwlpdwh
ás / iru i+[, d vwdwlvwlf |rx fduh derxw1
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <044

σ σ

µ1 µ2
Iljxuh <1< D glvwulexwlrq lq zklfk wzr uhjlrqv ri kljkhu suredelolw| duh vhsdudwhg e| d uhjlrq ri orz
suredelolw|1

51 Fkhfn wkdw Q ás 1 Wklv lv wkh rqo| phdqlqjixo gh?qlwlrq ri d 3orqj4 uxq1

ý ü
61 Sorw wkh rxwsxw {E?ä / ru i {E?ä djdlqvw q1 Grhv lw vkrz dq| reylrxv wuhqg B Grhv lw vhhp
wr eh 3lq htxloleulxp4 B

71 Sorw wkh qrupdolvhg dxwrfryduldqfh ixqfwlrq ãss +v, djdlqvw odj v1 Lw vkrxog idoo r> vprrwko|
wr }hur/ dqg wkhq eh glvwuxewhg pruh ru ohvv hyhqo|/ zlwk qrlvh/ derxw wkh {0d{lv1

81 Uhdg Jh|hu 3PFPF lq sudfwlfh4/ Vwdwlvwlfdo Vflhqfh duwlfoh/ iru vrph fkhfnv rq wkh dvv|ps0
wrwlf yduldqfh ri wkh dxwrfruuhodwlrq ixqfwlrq dv v $odujh1
7861:3: Lqyhuvh Sureohpv/ J1N1 Qlfkroov/ Wkh Xqlyhuvlw| ri Dxfnodqg <045

MCMC output Normalised ACF ρff(s)

10 1.0

5
0.5
0

−5
0.0

−10
0 200 400 600 800 1000 0 50 100 150 200
10 1.0

0 0.5

−5

−10 0.0
0 200 400 600 800 1000 0 20 40 60 80 100
0 1.0
MCMC output state

normalised ACF

−2
0.5
−4

−6
0.0

−8
0 200 400 600 800 1000 0 50 100 150 200
MCMC update Lag, s in updates
Iljxuh <143 Looxvwudwlrq ri lqlwldolvdwlrq eldv dqg vwlfnlqj= Rxwsxw iru PFPF vdpsolqj wkh pxowl0prgdo
glvwulexwlrq ri Iljxuh <1<1 Wrs urz/ d @ ; +hujrglf,/ plggoh urz d @ 7 +yhu| vorz pl{lqj/ vwurqj
lqlwldolvdwlrq eldv,/ erwwrp urz d @ 4 +vwxfn,1