提出一种几何不变的MCMC有效样本量度量方法。
Intrinsic effective sample size for manifold-valued Markov chain Monte Carlo via kernel discrepancy
- 基于核差异定义内在有效样本量,不依赖坐标系选择。
- 在球面实验中验证了旋转不变性与诊断校准性。
- 适合处理流形空间上的马尔可夫链采样分析。
有效样本量是马尔可夫链蒙特卡洛输出的标准总结指标,但通常仅适用于分析者选定的标量或欧氏空间统计量。对于流形值样本,这种选择并非唯一:坐标系变换、图表变换或同一路径的不同嵌入会导致坐标式有效样本量变化。本文提出一种基于核差异的内在有效样本量度量。该度量表示:若独立抽取相同数量样本,其经验分布与目标分布之间的期望平方核差异与实际样本相当。此定义具有精确的有限样本风险解释、渐近积分自相关表示,并在核尊重状态空间几何时提供无坐标的诊断工具。我们证明了在运输核下不变性、算子与主方向解释,以及滞后窗估计器在有界性和绝对正则条件下的相合性。同时讨论了流形上有效的核构造,强调测地线高斯核在弯曲空间中通常非正定。球面实验展示了旋转不变性及诊断对经验分布误差的校准效果。
原文摘要 · Abstract (English)
Effective sample size is a standard summary of Markov chain Monte Carlo output, but it is usually attached to scalar or Euclidean summaries chosen by the analyst. For manifold-valued samples this choice is not canonical: coordinate-wise effective sample sizes can change under rotations, chart changes, or alternative embeddings of the same underlying path. We propose an intrinsic effective sample size based on kernel discrepancy. The proposed quantity is the number of independent draws that would yield the same expected squared kernel discrepancy between the empirical distribution and the target distribution. This gives an exact finite-sample risk interpretation, an asymptotic integrated-autocorrelation representation, and a coordinate-free diagnostic whenever the kernel respects the geometry of the state space. We establish invariance under transported kernels, operator and principal-direction interpretations, and consistency of a lag-window estimator under boundedness and absolute-regularity conditions. We also discuss valid kernel constructions on manifolds, emphasizing that geodesic Gaussian kernels are not generally positive definite on curved spaces. Sphere experiments illustrate rotation invariance and calibration of the proposed diagnostic against empirical distributional error.
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