Bayesian methodsBayesian / computational

Robust Markov Chain Monte Carlo

Robust MCMC combines Markov chain Monte Carlo sampling with robustness techniques to produce reliable posterior inference when data contain outliers, when the assumed model is misspecified, or when the target distribution has heavy tails that cause standard samplers to mix poorly or yield distorted estimates.

Open in MethodMindSoonVideoSoon

Read the full method

Members only

Sign in with a free account to read this section.

Sign in

Sources

  1. Roberts, G. O. & Rosenthal, J. S. (2004). General state space Markov chains and MCMC algorithms. Probability Surveys, 1, 20–71. DOI: 10.1214/154957804100000024
  2. Barp, A., Kennedy, C., Durmus, A. & Girolami, M. (2022). Targeted separation and convergence with kernel discrepancies. arXiv preprint. link

Related methods

Referenced by

ScholarGateRobust Markov chain Monte Carlo (Robust Markov Chain Monte Carlo Sampling). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/robust-markov-chain-monte-carlo