3 ms·
Of course, you are right. I recall Geyer at some point writing some people thought there was a difference between having a burn-in period that happened to have
by asdf_snar 6y ago
Of course, you are right. I recall Geyer at some point writing some people thought there was a difference between having a burn-in period that happened to have X_b = x_b, and simply starting with X_0 = x_b. I can't find that on this page though.
- contravariant 6y agoI see, you're right that those two are entirely equivalent (it's what makes the Markov chain 'Markov'). And using an approximate sample instead of burn-in isn't entirely without merit, though I think I've only seen that being used with things like Brownian motion where the trajectory is the thing of interest, rather than the samples themselves.
- jmmcd 6y agoYes, he writes "If you start at x and I start at x then your MCMC run is no better than mine." and surrounding text is making this point.