ABSTRACT It is common to subsample Markov chain output to reduce the storage burden. Geyer shows that discarding k − 1 out of every k observations will not improve statistical efficiency, as quantified through variance in a given computational budget. That observation is often taken to mean that thinning Markov chain Monte Carlo (MCMC) output cannot improve statistical efficiency. Here, we suppose that it costs one unit of time to advance a Markov chain and then θ > 0 units of time to compute a sampled quantity of interest. For a thinned process, that cost θ is incurred less often, so it can be advanced through more stages. Here, we provide examples to show that thinning will improve statistical efficiency if θ is large and the sample autocorrelations decay slowly enough. If the lag ℓ ⩾ 1 autocorrelations of a scalar measurement satisfy ρℓ > ρℓ + 1 > 0, then there is always a θ < ∞ at which thinning becomes more efficient for averages of that scalar. Many sample autocorrelation functions resemble first order AR(1) processes with ρℓ = ρ|ℓ| for some − 1 < ρ < 1. For an AR(1) process, it is possible to compute the most efficient subsampling frequency k. The optimal k grows rapidly as ρ increases toward 1. The resulting efficiency gain depends primarily on θ, not ρ. Taking k = 1 (no thinning) is optimal when ρ ⩽ 0. For ρ > 0, it is optimal if and only if θ ⩽ (1 − ρ)2/(2ρ). This efficiency gain never exceeds 1 + θ. This article also gives efficiency bounds for autocorrelations bounded between those of two AR(1) processes. Supplementary materials for this article are available online.
[1]
L. Mark Berliner,et al.
Subsampling the Gibbs Sampler
,
1994
.
[2]
Charles J. Geyer,et al.
Practical Markov Chain Monte Carlo
,
1992
.
[3]
C. Geyer.
Markov Chain Monte Carlo Maximum Likelihood
,
1991
.
[4]
Simon Jackman,et al.
Bayesian Analysis for the Social Sciences
,
2009
.
[5]
Radford M. Neal.
Probabilistic Inference Using Markov Chain Monte Carlo Methods
,
2011
.
[6]
William A. Link,et al.
On thinning of chains in MCMC
,
2012
.
[7]
Gerard T. Barkema,et al.
Monte Carlo Methods in Statistical Physics
,
1999
.
[8]
S. E. Ahmed,et al.
Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference
,
2008,
Technometrics.
[9]
Simon Jackman,et al.
Bayesian Approaches to Measurement
,
2009
.
[10]
J. Hammersley,et al.
Monte Carlo Methods
,
1965
.