Control by the Central Limit Theorem

Abstract

Distinctions between single chain and parallel chain control methods have already been discussed in Chapter 2. However, as Brooks and Roberts (1998) point out, other characteristics must be taken into account for evaluating control methods. An important criterion is the programming investment: diagnostics requiring problem-specific computer codes for their implementation (e.g., requiring knowledge of the transition kernel of the Markov chain) are far less usable for the end user than diagnostics solely based upon the outputs from the sampler, which can use available generic codes. Another criterion is interpretability, in the sense that a diagnostic should preferably require no interpretation or experience from the user.