Hypothesis testing for Markov chain Monte Carlo
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Abstract (arXiv)
Testing between hypotheses, when independent sampling is possible, is a well developed subject. In this paper, we propose hypothesis tests that are applicable when the samples are obtained using Markov chain Monte Carlo. These tests are useful when one is interested in deciding whether the expected value of a certain quantity is above or below a given threshold. We show non-asymptotic error bounds and bounds on the expected number of samples for three types of tests, a fixed sample size test, a sequential test with indifference region, and a sequential test without indifference region. Our tests can lead to significant savings in sample size. We illustrate our results on an example of Bayesian parameter inference involving an ODE model of a biochemical pathway.
Key facts. Cited by 2 papers in the map (data through 14 Oct 2026). First posted on arXiv 29 Sep 2014.
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Citing papers per year: 2026: 2.
2 papers.
- 2026Asymptotically Optimal Sequential Testing with Markovian Datacited by 2
- 2026MCMC Can See Can't Seecited by 0
- 2026MCMC Can See Can't See14 Oct 2026
- 2026Asymptotically Optimal Sequential Testing with Markovian Data19 Feb 2026