Journal
ASTROPHYSICAL JOURNAL SUPPLEMENT SERIES
Volume 236, Issue 1, Pages -Publisher
IOP PUBLISHING LTD
DOI: 10.3847/1538-4365/aab76e
Keywords
methods: data analysis; methods: numerical; methods: statistical
Categories
Funding
- NSF [AST-0908357, IIS-1124794, AST-1517237]
- NASA [NNX12AI50G]
- Moore-Sloan Data Science Environment at NYU
- NASA through the Sagan Fellowship Program
- NASA [NNX12AI50G, 21501] Funding Source: Federal RePORTER
- Direct For Mathematical & Physical Scien
- Division Of Astronomical Sciences [1517237] Funding Source: National Science Foundation
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Markov Chain Monte Carlo (MCMC) methods for sampling probability density functions (combined with abundant computational resources) have transformed the sciences, especially in performing probabilistic inferences, or fitting models to data. In this primarily pedagogical contribution, we give a brief overview of the most basic MCMC method and some practical advice for the use of MCMC in real inference problems. We give advice on method choice, tuning for performance, methods for initialization, tests of convergence, troubleshooting, and use of the chain output to produce or report parameter estimates with associated uncertainties. We argue that autocorrelation time is the most important test for convergence, as it directly connects to the uncertainty on the sampling estimate of any quantity of interest. We emphasize that sampling is a method for doing integrals; this guides our thinking about how MCMC output is best used.
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