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A flexible distribution family for testing MCMC implementations

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  • Papp, Tamás K.

    (Institute for Advanced Studies, Vienna)

Abstract

We propose a flexible, extensible family of distributions for testing Markov Chain Monte Carlo implementations. Distributions are created by nesting simple transformations, which allow various shapes, includingmultiplemodes and fat tails. The resulting distributions can be sampled with high precision using quasi-random sequences, and have closed form (log) density and gradient at each point, making it possible to test gradient-based samplers without automatic differentiation.

Suggested Citation

  • Papp, Tamás K., 2025. "A flexible distribution family for testing MCMC implementations," IHS Working Paper Series 60, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihswps:number60
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    File URL: https://irihs.ihs.ac.at/id/eprint/7280
    File Function: First version, 2025
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