Daily Archives: March 10, 2015

Interesting Q/A: autocorrelation for categorical var in MCMC

From http://stats.stackexchange.com/questions/10798/measures-of-autocorrelation-in-categorical-values-of-a-markov-chain, a question I run into from time to time:
> Are there any measures of auto-correlation for a sequence of observations of an (unordered) categorical variable?

An (accepted) answer that got me thinking:
> [L]ook directly at the convergence rate for the Markov chain.

My interpretation, in PyMC2 terms: run chain, calculate empirical transition probabilities for categorical variable, examine spectral gap.

Experimental notebook tk.

Comments Off on Interesting Q/A: autocorrelation for categorical var in MCMC

Filed under MCMC