Test (1996) 249

Vol. 5, No. 2, pp. 249-344

Statistical Inference and

Monte Carlo Algorithms
GEORGE CASELLA
Biometrics Unit, Cornell University, Ithaca NY 14853, USA
[Read before the Spanish Statistical Society at a meeting
organized by the University of Granada on Friday, September 27, 1996]

SUMMARY
This review article looks at a small part of the picture of the interrelationship
between statistical theory and computational algorithms, especially the Gibbs
sampler and the Accept-Reject algorithm. We pay particular attention to how
the methodologies affect and complement each other.

Keywords: MARKOV CHAIN MONTE CARLO; GIBBS SAMPLING;

ACCEPT-REJECT ALGORITHM; RAO-BLACKWELL THEOREM;
IMPROPER PRIORS; DECISION THEORY.

1. INTRODUCTION
Computations and statistics have always been intertwined. In particular,
applied statistics has relied on computing to implement its solutions of
real data problems. Here we look at another part of the relationship
between statistics and computation, and examine a small part of how
the theories not only are intertwined, but how they have influenced each
other.
With the explosion of methods based on Monte Carlo methods, par-
ticularly those using Markov chain algorithms such as the Gibbs sampler,
there has been a blurring of the distinction between the statistical model
and the algorithmic model. This is particularly evident in the examples

Received August 96; Revised September 96.

250 George Casella

of Section 3. There, the statistical model will typically be a hierarchical

model, while the computational algorithm will be based on a set of con-
ditional distributions. We will see that the manner in which we view the
model can have a large impact on the validity of the statistical inference.
It is therefore important to consider the statistical model that underlies
the Monte Carlo algorithm.
We can also turn things around. When one uses a Monte Carlo
algorithm to do a calculation, it is common to process the output by
taking an average. However, we should realize that the output from a
Monte Carlo algorithm can be viewed as data, with the algorithm itself
playing the part of a statistical model. As such, taking a naive average
may not be the most effective way of processing the output. In Section 4
we look at this question, and investigate the effect of classical decision
theory on output from the Accept-Reject algorithm. We consider these
improvements as a post-simulation processing of a generated sample,
which is statistically superior to the original estimator, although they may
be computationally inferior in taking more computer time. However, this
latter concern can also be addressed with estimators that offer statistical
improvement while only requiring a slight increase in computational
effort.
We also emphasize that our approach and, in particular, the opti-
mizations involved in the derivation of some of the improved estimators,
is based on statistical rather than computational principles. The overall
goal of the statistician is to process samples in an optimal way, and to
make the best inference possible. To do so requires treating an algorithm
as a statistical model, and (as far as possible) ignoring the computational
issues.
Another consideration in the interplay of statistical theory and al-
gorithms is the prospect of using the structure of the algorithm to more
efficiently construct an optimal procedure. We illustrate this in Sec-
tion 5, where we look at three examples. These examples use the Gibbs
sampler, and show that we can use the iterative nature of the algorithm
to implement procedures that are sometimes computationally feasible
and can result in an optimal inference. We end the paper with a short
discussion section.
Statistical Inference and Monte Carlo Algorithms 951

2. SYNTHESIS
Given the audience of this presentation, a digression may be in order into
the Bayes/frequentist approaches to statistics. The topic of algorithms,
particularly Monte Carlo algorithms, is a prime example of an area that
is best handled statistically by a mixture of the Bayesian and frequentist
approaches. Moreover, it seems that to completely analyze, understand,
and optimize the relationship between a statistical model, its associated
inference, and the algorithm used for computations, both Bayesian and
frequentist ideas must be used.
The Bayesian approach provides us with a means of constructing an
estimator that, when evaluated according to its global risk performance,
could result in an optimal frequentist estimator. This highlights impor-
tant features of both the Bayesian and frequentist approaches. Although
the Bayesian paradigm is well-suited for the construction of possibly
optimal estimators, it is less well-suited for their global evaluation. The
frequentist paradigm is quite complementary, as it is well-suited for
global evaluations, but is less well-suited for construction.
We look at two examples, taken from Lehmann and Casella (1997).

Example 1. Rao-Blackwellizing the Gibbs Sampler. The Gibbs sam-

pler (Geman and Geman 1984, Gelfand and Smith 1990) provides a
method of computing Bayes estimators. These estimators are computed
by averaging random variables and this averaging is improved if the
Rao-Blackwell theorem is applied (Liu, Wong and Kong 1994, 1995).
More precisely, in a typical use of the Gibbs sampler, our estimand is the
actual Bayes estimator, which we are computing by generating random
variables and averaging them. The validity of our method rests on the
Ergodic Theorem (Law of Large Numbers). When the Rao-Blackwell
theorem is applied to these averages, we get a new average with the same
expectation (the actual value of the estimator) and smaller variance.
Thus, the calculation of a Bayes estimator is improved using a fre-
quentist methodology. Moreover, monitoring convergence of the Gibbs
sampler is essentially a frequentist problem, so again frequentist tech-
niques can be used to improve Bayes estimators. ,~

The preceding example shows how frequentist methods can aid a

Bayesian approach. The reverse is also true.
252 George Casella

Example 2. REML variance estimation. In the one-way random effects

model

Yij = / 3 + u i + e i j (j=l,,..,ni, i= 1,...,k) (1)

where/3 is the overall mean, ui is a random effect, and ~ij is error, it

is often of primary interest to estimate 0-2 and 0-~, the variance of the
random effects ui and ~ij, respectively. Two basic problems must be
overcome.
(a) Elimination of the effect of/3 from the estimates of 0 -2 and 0-2.
As the latter are estimates of dispersion, they should not be
affected by a change in the mean level.
(b) Interpretation of possibly negative estimates of variance, which
can arise from some classical estimation methods (see Searle,
et al. 1992, Section 3.5c).
Both (a) and (b) can be dealt with using frequentist methodologies.
For example, the effect of/3 can be eliminated by requiring the vari-
ance estimates to be translation invariant (one derivation of the so-called
REML variance estimates; see Searle et al. 1992, Section 6.6 and Chap-
ter 9) and the negativity problem can be handled by truncation.
Alternatively, a Bayesian model can eliminate both of these prob-
lems in a straightforward way. First, the parameter/3 can be integrated
out using a prior distribution, creating a marginal likelihood. Moreover,
Bayes estimates of o.2 and 0-e2 will never be negative.
Note that we are using the Bayesian approach to construct the es-
timators. The evaluation of the estimators, and establishment of any
optimality properties, can still be done using a frequentist global risk
approach. <

Thus, it is important to view these two approaches as complemen-

tary rather than adversarial, as together they provide a rich set of tools
and techniques for the statistician. Moreover, there are situations and
problems in which one or the other approach is better-suited, or even a
combination may be best, so a statistician without a command of both
approaches may be less than complete.
 Statistical Inference and Monte Carlo Algorithms 953

3. ALGORITHMS AND STATISTICAL INFERENCE

In this section we look at how an algorithmic approach to a problem has
fundamental repercussions on the statistical inference. In Section 3.1,
where we mainly give details for the mixed linear model, we will see
that approaching a problem through a Gibbs sampler can mask posterior
impropriety. This can have a profound effect on the possible statistical
inferences. In the most extreme cases, which are in no way pathological,
evaluating a statistical model only through a Gibbs sampler can lead to
erroneous, even nonsensical, inferences. This latter point is examined
in Section 3.2.

3.1. How the Algorithm Affects the Posterior

The model equation of a general linear mixed model is given by

t = x/3 + + (2)

where Y is an n x 1 vector of observations,/3 is a p • 1 vector of

fixed effects (parameters), u is a q x 1 vector of random effects (random
variables), X and Z are known design matrices whose dimensions are
n x p and n x q, respectively, and e is an n x 1 vector of residual errors.
A typical set of error distributions (or priors) for the mixed model
has e[~r~ ~ Nn(O, Icr~) and ulcr12,...,o r2 ~,~ N q ( O , D ) where u =
9.. u r ) , ui is qi x 1, D = '-~i=1 qi i ' and ~-~4=1qi = q. The
r subvectors of u correspond to the r different random factors in the
experiment. It is also common to put a flat prior (Lebesgue measure) on
the so-called fixed effects, represented by the vector/3. In classical mixed
model inference, such an assumption is used in REML, or restricted
maximum likelihood estimation. As it turns out, the type of prior used
on/3 has no impact on what follows.
The variance components themselves, which are often the prime
targets of inference, are often given power-type priors of the form

71"e(o'21b) (2((0-2) -(b+l) , 7ri(~lai)~ (o?) -(ai+l) , (3)

where the ai's and b are known and the following conditional indepen-
dence assumptions are in force: (1) given u, Y is conditionally indepen-
dent of o-~,..., o-2, (2) given o-2,..., o-2, u is conditionally independent
of/3 and 0-2, and (3)/3, 0-2, and o-~,..., 0-2 are a priori independent.
254 George Casella

All of these assumptions can be summarized in the hierarchical

model
Y l u , cr2,/3 ~ Nn(X/3 + Zu, Ia~)

rr(/3) c~ 1 u1 12,.. 2 ,.~ Nq(O,D) 7re(cr2lb) c< (0"2) -(b+l) (4)

rr/(a~[ai) c((0?) -(ai+l) .

With the increased popularity of Monte Carlo algorithms such as the

Gibbs sampler, the experimenter tends to pay less attention to the model
specified by (4), and rather concentrates on the set of full conditionals,
which make up the input into the Gibbs Markov chain. For our mixed
model, these conditionals are given by

2/3) = i C ( a , + q i 2' u
f (o2lo"_i, y, u, fie, (5)
n
f (a2elo-,y,u,/3) = IG b+-~, 2 { ( y - ( X / 3 + Zu))'

(y - (X/3 + Zu))} -1)

2 (
f (ulo-,y,o-,,/3) = Nq (Z'Z+o,J_~
_2 n - l ~ )- I i_,
,w!

(y-- X/3), ff2(Z'Z q- cr2D-1) -1)

f (/310", Y, o"e2, u) = Np (( X t X ) -1 X ! (y Z u ) , o-e2 ( X t X ) -1 )

where o" = (o-2,...,0-2), o"-i = (0"2,...,cri-1,0"i+1,...,0"2), IG

stands for inverted gamma and we say that X ~ IG(r, s) if f x ( t ) c(
t -r-1 exp(-1/st) for positive t.
If 2ai < - q i for some i or 2b < - n , then at least one of the con-
ditionals is improper, since the inverted gamma density is defined only
when both parameters are positive (Berger 1985, p. 561). Clearly, one
improper conditional implies an improper posterior.
Although it may be tempting to assume that propriety of the condi-
tionals in (5) implies propriety of the posterior distribution, this is false.
Indeed, there are many values of the vector (al, a2,.., at, b) which si-
multaneously yield proper conditionals (2ai > -qi Vi and 2b > - n )
Statistical Inference and Monte Carlo Algorithms 955

and an improper posterior. Thus, in general, if one incorrectly assumes

propriety of a posterior and writes down a (false) proportionality state-
ment like
2 a~2, u, ~]y) c< f (y]u, a2, f~) f (ula2, . . . , r 2)
~r(a2, . . . , crr,
r
(6)
7r(~)Tr~(~ H 7ri(ty2]ai)
i=1
where f is used to represent a generic density, it may happen that the
Gibbs conditionals are all proper densities. Such a situation is very
dangerous because, if the output from the Gibbs sampler fails to warn
the user that the posterior is improper (which seems to be the common
situation), the result could be an inference about a nonexistent posterior
distribution. We will return to this point in Section 3.2.
We now state a theorem that will insure the propriety of posterior
distributions coming from the model. This theorem is similar, in spirit,
to those given in Ibrahim and Laud (1991), who consider the use of
Jeffreys's prior in generalized linear models (GLM's), Dey, Gelfand and
Peng (1994), who discuss the use of improper priors in overdispersed
GLM's, and Natarajan and McCulloch (1995), who deal with mixed
models for binomial responses. Another related paper is Zeger and
Karim (1991) who discuss the use of improper priors and Gibbs sampling
in GLM's. For a proof of the theorem see Hobert and Casella (1996).

Theorem 1. L e t t = r a n k ( P x Z ) = rank (Z'PxZ) < q where

we define P x = ( I - g ( X ' X ) -1 X ' ) . There are two cases:
1. I f t = q or if r = 1 then conditions (i), (ii), and (iii)
below are necessary and sufficient f o r the propriety o f the
posterior distribution of model (4).
2. I f t < q a n d r > 1 thenconditions (i), (ii), and (iii) below
are sufficient f o r the propriety of the posterior distribution
of model (4) while necessary conditions result when (ii) is
replaced with (ii ~) qi > - 2 a i .

(i) ai < 0
(ii) qi > q - t - 2ai
256 George Casella

(iii) n+2Eai+2b-p>O.

Thus, we see that it is relatively easy to check if the posterior distri-

butions are proper, being merely a matter of counting categories. Also,
conditions (i)-(iii) are intuitively reasonable, and can be interpreted as
requiring that we have enough observations, in particular enough obser-
vations on the variance components o-2, to adequately control the tails
of the posterior (large enough qi).

3.2. How the Algorithm Affects the Inference

In this section, we look at what can happen to the inference if one uses a
set of Gibbs conditionals, all of which are proper, that do not correspond
to a proper posterior. This situation was investigated in detail by Hobert
and Casella (1995), and we will discuss a few of their findings.
A set of conditional densities such as those in (5) may, or may not,
result in a proper posterior. However, the fact that may obscure the
impropriety of the posterior is the functional compatibility of the set of
densities. First consider the following simple example from Casella and
George (1992).

Example 3. The exponential conditional densities

fl(x[Y) = ye -yz and f2(ylx) = xe -xy.

appear to be a pair of conditional densities, but there is no joint density
function which will yield f l and f2 as conditional densities. If such a
joint density did exist, the pair f l and f2 would be compatible. As one
does not exist, this pair is incompatible. However, the non-integrable
function 9(x, y) = e x p ( - x y ) , if treated as a joint density, does yield
fl and f2 as its "conditionals". In such a case, where no proper 9(')
exists, but an improper one does, we say that fl and f2 are functionally
compatible. This is the dangerous case, as f l and f2 appear to be a set
of conditional densities. This is exactly what can happen in (5) if the
conditions of Theorem 1 are not satisfied. <~

When there are more than two variables, the definitions of compati-
bility and functional compatibility become more involved, but the idea is
Statistical Inference and Monte Carlo Algorithms 257

the same. Compatibility of a set of densities was investigated by Besag

(1974), Arnold and Press (1989), and Gelman and Speed (1993). They
tended to focus on conditions under which a set of conditional densities
could be used to uniquely determine the joint density, assuming that such
a density existed. In our case, however, we cannot assume that such a
joint density exists.
The major concern for a user of a Gibbs sampler based on a set of
functionally compatible densities that are not compatible (that is, for
which not proper joint density exists), is what inference can be made
from the resulting Markov chain? This is the question investigated in
detail by Hobert and Casella (1995), and the results are quite negative.
They prove the following theorem.

Theorem 2. Let f l , . . . , f m be a set of functionally compatible con-

ditional densities on which a Gibbs sampler is based. The resulting
Markov chain 9 is positive recurrent if and only if f l , . . . , f m are
compatible.

Thus, a set of densities that are only functionally compatible will

not result in a positive recurrent Markov chain. Hence, there cannot
be any stationary probability distribution for the chain to converge to.
Moreover, there is virtually no reasonable inference that can be made.
Under some additional technical conditions (which are satisfied for most
typical Gibbs samplers), it can be shown that if t : A --~ ~ + is a bounded
measurable function for which, given e > 0, there exists a compact set
C E A such that t (y) _< c V y E C c, then

liminf 1~ t ( ~ i ) -- 0 a.s. (7)

n ----~o o n
i=1

In a typical Gibbs sampling application, one might estimate a posterior

density 7r(Oly ) with an average of conditional posterior densities, say
7r(OIy ) ~--~ ( l / m ) Eim__l 7r(O]y, ,~i). It will often be the case that the den-
sities 7r(Oly , hi) satisfy the conditions on the function t above. Hence,
the only place the average ( l / m ) y'~im__lTr(Oly ,/~i) can converge to is 0;
or else it will not converge.
Gibbs samplers based on a set of densities that are not compatible
result in Markov chains that are null, that is, they are either null recurrent
258 George Casella

or transient. In either case, there is no limiting probability distribution.

However, output from the Gibbs sampler may produce nice looking pic-
tures of the supposed marginal posterior densities, particularly when
the posterior density is computed as an average of conditional densities.
But there can be no actual distribution to which the Gibbs picture cor-
responds. This was the problem with the Gibbs-based conclusions of
Wang et al. (1993, 1994) and Gelfand et al. (1990) as they used models
for which a posterior distribution did not exist.
An insidious feature of this situation is that a null Gibbs chain may
be undetectable to the practitioner, that is, the resulting Monte Carlo ap-
proximations appear completely reasonable. Moreover, not only do the
Gibbs averages look reasonable, but the actual output from the Markov
chain may appear reasonable. (Consider Geyer 1992, who published
what he first believed to be proper Gibbs output, but later found that it
corresponded to an improper posterior. He noted, in proof, that, "...(the
model) produces an improper posterior, so the Gibbs sampler apparently
converged when there was no stationary distribution for it to converge
to. A run of one million iterations gave no hint of lack of convergence.."
Thus, it is not surprising that a practitioner can be fooled into believing
that the Gibbs chain is giving a reasonable inference.
In order to demonstrate just how reasonable some of these null Gibbs
chains can appear, we give an example.

Example 4. The one-way random effects model (1) with a typical set of
priors is
2

/3 ,~ d/3 u ~ N k (O, Io- 2) o-,2 ~ (cr2~-(b+l)

,-,, (8)

o-2 ~ (o-2)-(a+1).

For a simulation study we set k = 7, ni = n = 5, o -2 = 5, o.2 = 2,

and /~ = 10. The vector (Ul,...,UT) was simulated by generating
seven iid N(0, 5) random variables and the vector (e11,..., c75) was
simulated by generating 35 iid N(0, 2) random variables. We also set
a = b = 0, which yields an improper posterior. A Gibbs chain was
constructed using the conditionals given in (5). We denote the chain by
(O"2(j) , O"2(j), U/(j), fl(J)), j > 1. At the start, all parameters were set to
Statistical Inference and Monte Carlo Algorithms 259

one, except for the overall mean, 13, which was set to eight. The chain
was first allowed to run for 55,000 iterations; keep in mind that the word
"bum-in" is not appropriate for these initial iterations because the chain
is null and is therefore not converging (in the usual sense). The sole
purpose of these initial iterations was to provide the chain with ample
opportunity to misbehave and alert us that something may be wrong; it
never did. We chose 15,000 because a typical burn-in would probably
be in the hundreds (see Gelfand et al. 1990 and Wang et al. 1993) so that
if our chain did not misbehave during the burn-in stage, neither would
that of an unknowing experimenter.
After the initial 55,000 iterations, the output from the 15,001st
through the 16,000th was collected. Figure 1 is a histogram of the
1,000 effect variances from the null Gibbs chain, that is, 0-2(j+15,000),
j = 1, 2 , . . . , 1000, with a Monte Carlo approximation of the supposed
marginal posterior density superimposed. Figure 2 is the analog of Fig-
ure 1 for the error variance component. The density approximations in
Figures 1 and 2 were calculated using the usual "average of conditional
densities" approximation. All of these plots appear perfectly reasonable
even though the posterior distribution is improper and the Monte Carlo
density approximations have almost sure pointwise limits of zero or no
limit at all. Clearly, if one were unaware of the impropriety, plots like
these could lead to seriously misleading conclusions.
This particular posterior is improper due to an infinite amount of
mass near 0-2 = 0. One might suspect that if the starting value of 0-2
were near zero, the o.2 component of the Gibbs chain would be absorbed
at 0. This is not the case, however. In fact, the o.2 component and
the random effects components move towards zero, but eventually they
all return to a reasonable part of the space. For example, we started the
chain with 0 .2 • 10 - 5 0 and after 20,000 iterations the 0-2 component was
a p p r o x i m a t e l y 10 - 1 2 2 and the largest magnitude of any of the random
effects components was about 10 - 6 0 . The chain was allowed to run
for a total of one million iterations, after which all of the components
were back in a reasonable part of the parameter space. This Gibbs chain
behaves somewhat like one constructed with the exponential conditionals
of Example 3 in that it leaves the "center" of the space for long periods
of time, but eventually returns. Such behavior is consistent with null
recurrence.
260 George Casella

Histogram of Effect Variances

110

55

I I I

0 0 5 10 15 20

Figure 1. Histogram of the 1000 values of the effect variance from the
for j = 1, 2 , . . . , 1000.
null Gibbs chain, that is, a histogram of or2(j+15'~176176
Superimposed is the approximate (supposed) marginal posterior density of
cr2. An appropriately scaled version of #a21y (t]y) is on the ordinate with
t on the abscissa. (Actually, 15 of the l,O00values of the effect variance,
ranging from 21.0 to 45.1, were not included in the histogramJ

Lastly, we note that it seems virtually impossible to detect a null

chain with a diagnostic measure. Standard "convergence diagnostics"
proposed in the M C M C literature (see, for example, Raftery and Banfield
1991, Gelman and Rubin 1992, Roberts 1992, Tanner 1993, and Robert
1995) assume that the chain is positive recurrent and use the output to
provide information about when Monte Carlo approximations are "close
enough" to the true values. They are not designed to detect if the Gibbs
chain converges (positive recurrence), nor even when the Gibbs chain has
Statistical Inference and Monte Carlo Algorithms 261

Histogram of Error Variances

120

60

I I I

0.5 1.0 1.5 2.0 2.5 3.0

0
F i g u r e 2. Histogram of the 1000 values of the error variance from the
2(j+15,ooo) ~ .
null Gibbs chain, that is, a histogram of a~ for 3 = 1, 2 , . . . , 1000.
Superimposed is the approximate (supposed) marginal posterior density of
2 An appropriately scaled version ofr
0"~. ( t [ y ) is on the ordinate with
on the abscissa.

converged; as it never does. Thus, one should not count on "convergence

diagnostics" to detect an improper posterior.

4. DECISION THEORY AND ALGORITHMS

Now that we have looked at the effect of the algorithm on the statistical
inference, we will somewhat turn things around and look at the effect of
statistical theory on the output from the algorithm. We can consider a
Monte Carlo algorithm as outputting data about an underlying process,
with the goal being the construction of an estimate of some feature of the
262 George Casella

process. In this light, we can ask how to best process the data, and answer
that question by applying statistical principles. In what follows, we apply
one of the simplest principles, that of Rao-Blackwellization, to the output
of an Accept-Reject Algorithm. For more details, including applications
to the Metropolis-Hastings Algorithm, see Casella and Robert (1995,
1996a, 1996b, 1996c).

4.1. The Accept-Reject Algorithm as a Statistical Model

The Accept-Reject algorithm is based on the following lemma.

L e m m a 1. If f and 9 are two densities, and there exists M < oc

such that f ( x ) < M g ( x ) for every x, the random variable X pro-
vided by the algorithm
1. Simulate Y ~ 9(Y);
2. Simulate U ~ /g[0, 1] and take X = Y i f U <_ f ( Y ) / M 9 ( Y ) ;
otherwise, repeat step 1.
is distributed according to f .

When viewed statistically, we have the following description of the

algorithm. A sequence Y1, Y2,.. 9 of independent random variables is
generated from g along with a corresponding sequence U1, U2,... of
uniform random variables. Given a function h, the Accept-Reject es-
timator of 7- = E { h ( X ) } , based upon a sample X 1 , . . . , X t generated
according to Lemma 1, is given by
t
1
= T Z h(Xi). (9)
i=l

Note that, conditional on the value t, the random variables X1, 99 9 X t

represent an iid sample from the distribution f. The Accept-Reject
algorithm is usually implemented with a prespecified value of t, and the
number of generated Y/'s is a random integer N satisfying
N N-1
I(Ui <_ wi) = t and E I(Ui <_ wi) = t - 1,
i=1 i=1

where we define wi = f ( Y i ) / M 9 ( Y i ) .
Statistical Inference and Monte Carlo Algorithms 263

W h e n we evaluate (~AR as an estimator o f ' r , we see an estimator that

1. Is based on extraneous information (the uniform random vari-
ables).
2. Is, in fact, a randomized estimator, that scourge of statistics.
Classical statistical theory tells us that
1. We need an estimator that does not depend on the observed
values of the uniform random variables.
2. If an estimator is constructed by averaging over the uniform
random variables, such an estimator will dominate 5AR by the
Rao-Blackwell theorem.
It is straightforward to " R a o - B l a c k w e l l i z e " 5AR by noting that it can
be written
N
1
5AR = -~ E I(Ui < wi)h(Y/), (10)
i=1
so the conditional expectation

5RB = t "'"
i=1

improves upon (10) b y the R a o - B l a c k w e l l Theorem.

Details of this calculation are carried out in Casella and R o b e r t
(1996a), w h e r e it is established that

1 n
= pih( ) (12)
i=1

where, for i = 1, 9 9 9 n - 1, Pi satisfies

Pi = P(Ui < w i l N = n, ~ 1 , . . . , Yn)

n-2
E(il,...,it_2) E~ -2 Wij E j = t _ l ( 1 -- Wij) (13)
-----Wi ~_~(il,...,it_l ) yi~_l Wij YIjn=tl(1 -- Wij) '
while Pn = 1. The numerator sum is over all subsets of { 1 , . . . , i -
1, i + 1 , . . . , n - 1} of size t - 2, and the denominator sum is over all
subsets of size t - 1. The resulting estimator 5RB is an average over
264 George Casella

all the possible permutations of the realized sample, the permutations

being weighted by their probabilities. The Rao-Blackwellized estimator
is then a function only of (N, 1Q1),..., ]QN-1),YN), where ]Qi) denotes
the order statistics.
Because of the identity

var(5) = var[E{6(U,Y)IY}] + E[var{5(U,Y)[Y}]. (14)

we see that the improvement that 5RB brings over 5AR is related to
the size of E[var{5(U, Y)IY}]. This latter quantity can be interpreted
as measuring the average variance in the estimator that is due to the
auxiliary randomization, that is, the variance that is due to the uniform
random variables. In some cases this quantity can be substantial.

Example5. The target distribution is a Gamma distribution ~(a,/3) with

a > 1. We set/3 = 2c~ so that the mean of the distribution is 1/2. The
candidate distribution we select is the Gamma G (a, b) distribution with
a = [a] and b =/3a/c~.
We require a < a in order for M in Lemma 1 to be finite. The choice
b = 2a improves the fit between the two distributions since both means
match. We consider two cases which reflect different acceptance rates
for the Accept-Reject algorithm. In Case 1 we set a = 2.434, a = 2
and 1/M = 0.9 and, in Case 2, a = 20.62, a = 2 and 1/M = 0.3.
For each case we estimate the mean, chosen to be 1/2, using both
the simple Accept-Reject algorithm and its Rao-Blackwellized version.
We also include mean squared error estimates for the Accept-Reject
estimator and the improvement brought by Rao-Blackwellizing. This
improvement is measured by the percentage decrease in mean squared
error. From the table, it can be seen that the Rao-Blackwellisation pro-
vides a substantial decrease in mean squared error, reaching 60% in
the case where the acceptance rate of the algorithm is 0.3. The im-
provement is better at the lower Accept-Reject acceptance rate partially
because the Rao-Blackwellized sample is about three times bigger, with
approximately two thirds of the sample being discarded by the Accept-
Reject algorithm. Another interesting observation is that the percent
improvement in mean squared error remains constant as the Accept-
Reject sample size increases, implying that the variance of the original
Accept-Reject estimator does not approach the variance of the Rao-
Statistical Inference and Monte Carlo Algorithms 965

Table 1. Estimation of a gamma mean, chosen to be 1/2, using the Accept-

Reject Algorithm, based on 7,500 simulations.

Acceptance rate .9

AR AR RB AR Percent
Sample Estimate Estimate MSE Decrease
Size 5An 5RB in MSE
t0 .5002 .5007 .0100 17.02
25 .5001 .4999 .0041 18.64
50 .4996 .4997 .0020 20.81
100 .4996 .4997 .0010 21.45

Acceptance rate .3

AR AR RB AR Percent
Sample Estimate Estimate MSE Decrease
Size 5A~ 5RB in MSE
10 .5005 .5004 .0012 52.85
25 .4997 .5000 .0005 58.62
50 .4998 .5001 .0002 60.49
100 .4995 .5001 .0001 61.60

Blackwellized estimator even as the sample size increases, We will

return to this point in Section 5.2.

Computation of the Pi'S of (13) can be accomplished with a recursion

relation, and will typically require a calculation of order n 2. This may
represent, to some, an unacceptable increase in computation time given
the size of the anticipated decrease in mean squared error. To some-
what address this point, in Casella and Robert(1996b) we considered a
simpler version of the Rao-Blackwell strategy that led to (12). Notice
that, in what follows, we will simultaneously decrease computational
complexity and increase statistical complexity.
266 George Casella

4.2. Termwise Rao-Blackwellization

Starting from the Accept-Reject estimator (10), rather than calculating
the full conditional expectation, we can instead calculate the termwise
conditional expectation. This accomplishes the goal of removing the
uniform random variables but retains computational simplicity.
To calculate the termwise conditional expectation of (10), condi-
tioning the ith term on (N, I~), we need the conditional distribution of
Ui l, Y/, N = n. Although the original random variables are independent,
the Accept-Reject algorithm stopping rule introduces a dependence in
the sample. For example, for i = 1 , . . . , n - i the marginal distribution
of Y/is

t - 1i f ( y ) + n - t g ( y ) - - - ~1f ( y ) (15)
re(y) -- n - n - 1 1 M

and Yn has marginal distribution f ( y ) . It then can be shown that the

resulting estimator, 5TRB is given by

1 n
(~TRB -~ -s E E[Z(gi < wi)lY/]h(Yd
i=1
n-1 (16)
1 (h(yn)+Eb(yi)h(Yi)) ,
t i=1

where

t - 1 f(y )
, i=l,.--,n-1. (17)
n - i m(yi)

See the Appendix for details of these calculations.

We now have a seemingly reasonable estimator that is not compli-
cated to compute, but its statistical properties are not as easy to establish
as the full Rao-Blackwellized estimator (12). In fact, the Rao-Blackwell
theorem does not apply to the estimator (16) because we did not con-
dition on the entire estimator. To establish dominance of (~TRB o f (16)
over (~ARof (9), we must calculate the variance of 5TRB, which involves
n ( n - 1)/2 covariance terms. Moreover, it can easily be seen that 5TnB
cannot dominate 5AR in mean squared error. This is because the sum
of the weights in (17) is random, and if the target function h(.) is a
Statistical Inference and Monte Carlo Algorithms 267

nonzero constant function, ~TRB will not estimate it correctly, while

5AR will. This major difficulty is also common to some importance
sampling schemes and prohibits uniform domination results there. A
solution to this drawback is to force the estimators to estimate constant
functions correctly, which can be achieved by dividing the weights b(yi)
by their sum, thus replacing (STt~Bby its rescaled version

1 t-l(~ b(yi) h(yi)). (18)

= (h(yn) + ---i-- Ejn:- b(V )

Such rescalings seem common in practice, despite any concern about

the effect of introducing a bias in the estimator. Such concerns need
not cause worry, however, as the bias induced by this rescaling is of
an higher order than the variance (Casella and Robert 1996b). The
following theorem can then be established.

Theorem 3. For every function h, ~STrasymptotically dominates

5AR in terms of quadratic risk. More precisely, as t ~ ~ , if
N = Op(t) then,

- _< E[( AR --

where ~- = E[h(X)].
Moreover, the size of the improvement brought about by the rescaled
estimator is truly impressive.

Example 6. (Continuation of Example 5). Table 2 gives MSE reductions

for the rescaled estimator ~T~, along with a rescaled importance sampling
estimator and the full Rao-Blackwellized estimator (12).
For comparison, we included in Table 2 a rescaled importance sam-
pling estimator, derived as follows. A typical importance sampling es-
timator is of the form

1~ f(Yi)
5IS ~- n i = 1 g(Yi) h(yi), (19)

which would be unbiased under a random sampling scheme. However,

the Accept-Reject Algorithm renders (19) biased. More importantly,
268 George Casella

Table 2. Estimation a gamma mean, chosen to be 1/2, using rescaled

estimators from the Accept-Reject Algorithm, based on 7, 500 simulations.

Acceptance rate .9

AR % Dec. % Dec. % Dec. % Dec.

Sample inMSE inMSE inMSE inMSE
Size 6rnB 6T,. 6ISr 6RB

10 14.01 16.88 20.27 17.03

25 14.67 18.45 20.04 18.64
50 17.48 20.77 21.68 20.81
100 18.11 21.37 21.50 21.45

Acceptance rate .3

AR % Dec. % Dec. % Dec. % Dec.

Sample inMSE inMSE inMSE inMSE
Size 6TR B 6Tr 61,5,r 6RB

10 -259.62 53.76 54.07 52.85

25 -277.80 59.04 59.23 58.62
50 -272.18 60.73 60.78 60.49
100 -281.77 61.82 61.91 61.82

(19) is not correct for constants, and will suffer f r o m the same problems
as 6TRB. We thus want to rescale 6 i s , which results in the rescaled
importance sampling estimator

1 t-l( h(vd). (20)

ISr = -[h(yn)+ \i=1 Ejn-llf ( Y J ) / g ( Y J )
The last observation comes f r o m the correct density, and d o e s n ' t have to
be reweighted. The remaining n - I terms are rescaled. As it turns out,
this estimator performs quite well in our simulation studies. This is really
no surprise, as it is very close to the rescaled termwise Rao-Blackwell
estimate.
Statistical Inference and Monte Carlo Algorithms 269

There are a number of interesting points to notice about Table 2.

First, termwise conditional expectation can actually make things worse,
as @RB increases the MSE o v e r •AR. Although we knew that @_~B
could not dominate for constant functions, the numerical example shows
that even for more variable functions there may not be dominance.
The second striking thing to notice is that the improvement from
the rescaled estimators @T and ~IsT is actually better than that of the
Rao-Blackwellized estimator ~RB- This, no doubt, represents a favor-
able variance/bias trade-off, but is still quite startling. The decrease in
computation time of @r and ~SiSr over ~SRB can be quite substantial,
and the fact that mean squared error is improved really underscores the
power of rescaling.

It is interesting to note that the rescaling idea, making the weights

sum to one, arose naturally as "the right thing to do", especially in light
of the performance of the estimators when h(-) is constant. Many times
we notice, or intuit, empirical adjustments that help in certain cases. We
can use the structure of decision theory to formalize our intuition, and
see if the empirical improvements will, in fact, be useful in a wide variety
of cases. Here we see that the value of the rescaling is confirmed by the
decision-theoretic calculation of Theorem 3 and a simulation study. We
thus have a nice interplay between using our intuition to construct what
we think is an improved estimator, and using theory to establish that we
have, in fact, done so.

5. OTHER CONSIDERATIONS
In this section we review some recent work that further explores the
structure of Monte Carlo algorithms, particularly the Gibbs sampler.
The goals of these investigations are to understand how to better, or
even optimally, process the output of the algorithm, and also to use
the structure of the algorithm to help construct optimal procedures. It is
interesting to note that both frequentist and Bayesian inferences benefit in
the following examples. Unfortunately, these illustrations are somewhat
less detailed, as some of the work is still in progress
27'0 George Casella

5.1. Constructing the Inference from the Algorithm

An endpoint of a Gibbs sampler is typically a sample from a poste-
rior distribution 7r(Oly ), a distribution which may itself be intractable to
work with. If a confidence set, or more specifically, a credible set,
for 0 is desired, we may have to solve a difficult integral equation
where the integrand may not be expressible in closed form. Specif-
ically, suppose that we have a pair of conditional posterior densities
zc(O[y, A) and zr(Aly, 0) in a Gibbs sampler Markov chain, and we are
interested in inferences about zc(Oly). If we use the Gibbs sampler to
generate the pairs (Oi, Ai), i = 1 , 2 , . - . , then, from the ergodic theo-
rem, 7r(0]y) = l i m m ~ ( 1 / m ) ~2"~ i=1 7c(O]y, Ai). Suppose that, for a
specified value of o~, we are interested in finding the value a* such that
f ~ * 7r(O]y)dO = o~, a lower confidence bound, a first approach would
be to solve for a* in

--
m
2 7c(Oly, Ai)dO = c~.
ec i = 1

As this calculation could be quite involved, we ask if the value a* can

be constructed from the Gibbs sequence (Oi, Ai) in any simple way?
A first approach on the problem, developed in Eberly (1997), is
the following. Writing II(-) for a distribution function, for example,
II(aty ) = f~Tr(Oty)dO, calculate for each Ai a value ai such that
II(ai lY, Ai) = "7, where the value of'7 will be determined shortly. (Note
that in a typical Gibbs sampler, the full conditionals are usually very nice
densities, so solving for the ais should be very quick.) Now ~1 ~ i =m 1 ai =
~ a ~, for some value a/, but it is not necessarily the case that a I = a*.
However, expanding II(ai lY, Ai) in a Taylor series around ~ yields
II(ai[y, Ai) ~ Yi(~ly, Ai) + ( a i - ~)~-(fi[y, Ai).
Now sum both sides, and remember that II(aily, Ai) = '7 to get
1 m 1 m
"7 "~ - - E I-I(alY' Ai) + - - ~ (ai - ~)7c(g]y, Ai).
m m
i=1 i=1

It can be established that ~1 Em=l II(d[y, Ai) ~ II(a'[y), so we have

the approximation
m

I Z(ai_~)Tr(~ly, Ai) '

i----1
Statistical Inference and Monte Carlo Algorithms 971

which suggests setting 3' = c~ + ~1 E i =ml ( a i - a ) 7 1 ( a l Y , ,~i), with the

hope that g ~ a I ~ a*.
This linear approximation seems to perform adequately in some
situations, but can be improved upon by a quadratic Taylor series ap-
proximation. Further work, in understanding the value and limitations
of this approximation, and thoroughly developing the theory, is presently
being done.

5.2. The Effect of Rao-Blackwellization

In Section 4.1 we alluded to the fact that Rao-Blackwellization will al-
ways result in an appreciable variance reduction, even as the sample size
(or the number of Monte Carlo iterations) increases. To address this
point more precisely, consider the work of Levine (1996), who formu-
lated this problem in terms of the asymptotic relative efficiency (ARE)
of 50 = ( l / m ) ~ h(Xi) with respect to its Rao-Blackwellized version
51 = (1/m) ~ E[h(Xi) IY/], where the pairs (Xi, Yi) are generated from
a Gibbs sampler with Xi ,~ f(xlY/_l ) and Y/,-~ f(ulXi). (Levine 1996
considers more complex Gibbs samplers, but we will only use this sim-
ple case for illustration. The key property that the sampler need have
is reversibility.) The ARE is a ratio of the variances of the limiting
distribution for the two estimators, which are given by
(X3

o-~o = var(h(X)) + 2 ~ cov(Xo, Xk) (21)

k=l

and
(3O

0-~1 = var(E[h(X)lY]) + 2 ~ cov(E[Xo[Yo],E[XklYk]). (22)

k=l

Levine then proves the following theorem.

Theorem 4. If a sample { (Xi, Yi) }in0 is generated by the bivari-

ate Gibbs sampler, then for all h(.) with finite variance, the ratio
2 2
o-60/o-61 _> 1, with equality if and only if var(h(X)) =
var(E[h(X)lY]) = O.
272 George Casella

To see the amount of possible improvement, consider the following

example.

Example 7. Let

where - 1 < p < 1. Assume interest lies in estimating # = E(X). The

Gibbs sampler can obtain samples from the bivariate normal distribution
by alternately drawing random variables from

X I Y ~ N(pY, 1 - p2)
Y I X ,.~ N(pX, 1 - p2).

It can be shown that coy(X1, Xk) = p2k, for all k, and

0.2~ 2 1
60/0"61 = -~ > 1.

So, if 61 is less than 1/,o 2 times more complex than 60, then 61 should
be used. Since E ( X I Y) = PY, it takes n + 2 floating point operations
(flops) to compute 61 = ( I / n ) ~ . = 0 E ( X I Yk) as compared to n + I
flops to compute 60 = ( I / n ) ~ = 0 X k. Therefore, the cost of compu-
tation, in terms of flops, is essentially the same, but there can be a vast
gain in precision by using 61. ,~

5.3. Minimax Gibbs Samplers

An interesting example of the interplay between decision theory and
Monte Carlo algorithms is given by the problem of optimizing the ran-
dom scan Gibbs sampler (see, for example, Rosenthal 1995, Amit 1996,
Roberts and Sahu 1996). The random scan Gibbs sampler is character-
ized by selection probabilities c~1, 9 OLd. These probabilities determine
the percentage of visits to a specific site or component of the d • I vector
of interest X = ( X 1 , . . . , Xa) during a mn of the sampler. A standard
approach is to choose the selection probabilities to provide the sampling
strategy with the smallest convergence rate. However, choosing the se-
lection probabilities according to such a criterion may be undesirable in
Statistical Inference and Monte Carlo Algorithms 273

practice. For example, the convergence rate is not only typically diffi-
cult to compute and possibly mathematically intractable, but also may
also ignore important features of the target distribution necessary for
determining the optimal random scan, as we will see below.
Levine (1996) considers an alternative measure derived from statis-
tical decision theoretic considerations, which seems to provide an attrac-
tive criterion for choosing an appropriate random scan. Assume a ran-
d o m d • 1 vector X is generated by a random scan Gibbs sampler which
generates a Markov chain { X ( i ) } ~ I with stationary distribution 7r. Sup-
pose interest lies in estimating # = E~(h(X)) where v a r ( h ( X ) ) < oc.
If we estimate # with the sample mean/2 = g1 Y]'~i=ln
h ( X ( i ) ) , the optimal
mean squared error scan is the one that minimizes the risk

(23)

Alternatively, we may consider the asymptotic risk

R(o~,h) = lim nR(n)(o~,h)

n--.-+ o o

n-1

i=1
O0

= wr (h(X)) + cov (h(X(~

i=1
(24)
as a basis for choosing a random scan.
We note that the convergence rate of the random scan, the norm of
the forward operator, can be expressed as

where the supremum is over all functions with finite variance. Thus
we see that, when compared to (24), the convergence rate contains less
information about the variance and covariances of the chain. It is in this
sense that we feel that (24) is a better optimality measure.
274 George Casella

To use (24) as a criterion for selecting a scan, we would like it

to produce a reasonable scan for any function h. This suggests that
we might want to protect against the worst possible function h, with
finite variance, by minimizing the maximum risk suPhR(O~, h). Levine
(1996) develops a method for doing this, implementing an adaptive scan
of the state space. That is, at each iteration the selection probabilities
are updated via a sequence of sample points from the previous iteration,
and may even use information from past iterations (which could destroy
the Markov nature of the chain). However, the chain does converge,
approaching the optimal random scan according to (24). Levine also
discusses examples where this procedure can be implemented, however
full implementation in a general setting is presently too computationally
intensive to be useful. Approximations are being investigated for these
cases.

6. DISCUSSION

Even though we have covered a lot of ground in understanding the in-

terplay between statistical theory and computational algorithms, there
is an enormous amount of work that we have not mentioned. We only
alluded to the fundamental papers of Liu, Wong and Kong (1994, 1995),
which provide an elegant and comprehensive treatment of the structure
of the Gibbs sampler. Other work, such as Tanner and Wong (1987),
Liu (1994), Tierney (1994) or Robert (1995), illustrates how statistical
theory interfaces with Monte Carlo algorithms, most notably the Gibbs
sampler and the Metropolis algorithm.
The other body of work we have not discussed is that which deals
with missing data problems, using techniques such as the EM algorithm.
Although EM and Gibbs share a similar underpinning, (see Casella and
Berger 1995 for a view of the EM algorithm as a Gibbs sampler) they
tend to be used in somewhat different ways. However, research in these
methods, which also combines statistical theory with the computational
algorithms, continues to flourish; see for example Smith and Roberts
(1993), Meng and Rubin (1993), Liu and Rubin (1994), Meng (1994),
Besag et al. (1995) and Meng and van Dyk (1996).
The message of this paper, which by now may be obscured in these
sometime incoherent ramblings, is one that bears repeating. What we
Statistical Inference a n d M o n t e Carlo A l g o r i t h m s 275

have done is to approach a new methodology, that of iterative Monte

Carlo calculation, with the standard tools of the theoretical statistician.
What resulted are procedures whose output and performance have been
optimized from a statistical view. It sometimes may happen, as with the
Rao-Blackwellized estimator of (12), or Section 5.3, that a statistically
optimal answer may result in a difficult, or even prohibitive computa-
tional burden. In such cases, statistical theory, in particular decision
theory, can still provide answers. It then becomes a matter of specify-
ing an alternate optimality criterion, or loss function, to take these other
matters into account.

7. APPENDIX: THE TERMWISE WEIGHTS

To calculate the weights for the termwise Rao-Blackwellized estimator

(16), it is necessary to derive the distribution of the uniform random
variable conditional on the generated value of the candidate random
variable. This is a rather straightforward exercise in distribution theory,
and is only made complicated by the stopping rule of the Accept-Reject
Algorithm.
From the Accept-Reject Algorithm of Lemma 1, we get a sequence
Y1, ]I2,... of independent random variables generated from g along with
a corresponding sequence U1, U2,.. 9of uniform random variables. For
a fixed sample size t, i.e. for a fixed number of accepted random vari-
ables, the number of generated Y~'s is a random integer N. The joint
distribution of ( N , Y1, . . . , Y N , U1, . . . , UN ) is given by

P(N = n, Y1 <_ Y l , . . . , Y n <_ yn, U1 <_ U l , . . . ,Un ~ Un)

-~ g(tn)(Un A wn)dtn ... g(tm)..,g(tn-1)

t-I n-I
X E I I ( w i j AUij ) I I ( u i j - - W i j ) + d t l ' ' ' d t n - l ,
(il ..... it_l) j = l j=t
(2s)
where w i = f ( Y i ) / M g ( y i ) and the sum is over all subsets of { 1 , . . . , n -
1 } of size t - 1.
276 George Casella

We next want to get the joint distribution of (Y/, Ui)IN = n, for any
i = 1 , . . - , n - 1. Since this distribution is the same for each of these
values o f / , we can just derive it for ( ~ , U 0 . Recall that Yn ~ f .
If we set Yl = Y, ul = u, Y2 = Y 3 . . . . - - Y n = c<) and u2 =
u3 = " . = Un = 1, we can derive the joint distribution of (N, 1~, U1).
Assume, without loss of generality, that limy__,~ f ( y ) / g ( y ) = 1. (If this
is not the case, we just have to adjust the constant M in what follows).
Then, aside from the pair (Wl, ul), we have (wij A uij) = a and
(Uij -- Wzj" ) + = ( 1 - ~ / ) , h e n c e
t-1 n-1
1-I(w,j ^ u,j) 1-I (~,,~ - .,,j)+ =
(il,'..,it-i) j=l j=t
-- (Wl /kUl) (?_~2) (~)t-2 (1-- ~) n-t (26)

q-(Ul--Wl)+ (nnT21) (~)t-1 (l--~) n-t-1.

Noting that
(,:_~) = _t_, n i
(,,_~)
t-
, (,, _ _~ ) _ _,,_,_
n t 1 n-1
(o_,) t-1 '
and f~_oog(tn)(un
vn oo
A wn)dtn = f~_oog(tn) ( ~ ) dtn = 1 , we have
P ( N = n, Yx <_ U, U1 <_ u) =
= (?-11) (~---)t-1(1-~--) n-t-1
• [n~l~(WlAUl) (1-~---) "~- n
n, (1)]
- 1 (ul - Wl) +
x fYoog(tl)dtl 9
(27)
From (27) we can immediately get the negative binomial marginal
distribution of N,
- 11 ) ( 1 ) t ( X
n-t
P(N=n)=(? -1) ,
Statistical Inference and Monte Carlo Algorithms 977

the marginal distribution of ]I1, re(y) of (15) and, most importantly, we

get the conditional distribution of U11Y1, N and can calculate

P(U1 < w(y)lrl = y , N = n) = g(y)w(y)M~=--11 , (2s)

which is the same as b(yi) of (17).

ACKNOWLEDGEMENT
I would like to thank Jost-Miguel Bernardo for suggestions and encour-
aging this project, and the University of Granada, The Spanish Statistical
Society, and particularly Elias Moreno Bas for their hospitality. Lastly,
thanks go to Jim Hobert and Christian Robert, who did most of the hard
work. This research was supported by NSF Grant No. DMS-9625440.

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280 George Casella

DISCUSSION
JUAN FERRANDIZ (Universitat de ValOncia, Spain)
First of all I would like to thank Professor Casella for this stimulating
paper. I have enjoyed reading these many good ideas exposed in so clear
a style. I found his main message very important telling us that not only
statistical practice can benefit from Markov Chain Monte Carlo (MCMC)
methods but that these MCMC methods can still take advantage of well-
known statistical ideas.
His second message, related to the Bayesian-frequentist controversy,
has been particularly pleasing to me. I strongly agree with Professor
Casella that
"... there are situationsand problemsin whichone or the other approach
is better-suited,or even a combinationmay be best, so a statistician without
a command of both approaches may be less than complete."
In fact, as I was reading the paper, I was thinking how his sugges-
tions could apply to a frequentist context: likelihood methods for spatial
models arising from random variables associated to geographical sites
(see e.g. Ferrfindiz et al., 1995).
Gibbs distributions are a natural choice in this context. Among
them, the proposed automodels in Besag (1974) are particularly ap-
pealing because the full conditionals determining joint distributions are
well-known members of the exponential family.
The corresponding density of these models can be expressed as

p(x 10) = exp(t'O)h(x)

c(O) (1)

through a suitable sufficient satistic t, where the normalizing constant

c(0) is difficult to compute by standard numerical methods. This fact
causes major problems on any inferential procedure based on the likeli-
hood function (including Bayesian posteriors from any prior).
Geyer and Thompson (1992) propose estimating the ratio of con-
stants
d(O) - c(0) _ E [ e x p ( t , ( 0 _ 0 0 ) ) 1 0 0 ]
c(Oo)
by means of
d(O-")
= 1 ~ exp(t~(O
n
- 0o)) (2)
Statistical Inference and Monte Carlo Algorithms 281

from a Markov chain simulation {xi : i = 1 , . . . , n} o f p ( x [ 00). We

can then estimate the likelihood function p(x [ O) in (1) up to a constant
c(Oo).
Compatibility of Full Conditionals. Spatial automodels were proposed
by Besag (1974) in his pioneering work after he considered the com-
patibility of full conditionals in order to establish well-defined spatial
models. For a finite number of sites and under the positivity condition
(the support of the joint distribution equals the product of supports of
the full conditionals) we have only to check summability of the joint
density. This is not always easy to verify theoretically and it would
be very interesting to develop statistical techniques to detect lack of
summability directly from the output of the simulation algorithm. A
first approach could be to run the algorithm several times from random
starting points and check the homogeneity of the produced outputs in
the long run. Example 4 in Section 3.2 probably would fail to show any
anomalous behavior. I think this is an interesting problem that deserves
further research.
Another interesting area of research could be how to relax the pos-
itivity condition, which seems quite restrictive in some circumstances
like, for instance, when we consider temporal concatenation of spatial
distributions in order to build space-time models. It would also be the
case, in the Bayesian context, when particular combinations of values
of the random variables in the model are impossible.

Rao-BlackweUization. The main difficulty in the likelihood estimation

approach for spatial models based on (2) above is the strong variability
of d(O) as [ 0 - 00 I becomes moderately large, producing a useless
estimate of the likelihood function outside a small neighborhood of 00.
The exponential form of the terms in the rhs of (2) make the extreme
outliers of the simulated sequence {ti : i = 1 , . . . , n} dominate the sum.
This is a case where it would be worth considering the statistical
processing of the output of the simulation algorithm in order to improve
our likelihood estimates.
Gibbs sampling is easily implemented in this context because full
conditionals p(xi [ x-i, O) are well-known distributions, and no accep-
tance-rejection mechanism is present. I can not see how the Rao-
Blackwellization proposed by Professor Casella in w could be applied.
282 George Casella

Perhaps, in this case, a robust estimator of the mean could be a good

alternative.
Rao-Blackwellization, as proposed in Section 4, seems limited to
acceptance-rejection algorithms, where ancillary uniform random vari-
ables are used. Gibbs sampling can be stated as a particular case of
Metropolis-Hastings algorithm, but with probability one of accepting
every move, so that it is not possible to benefit from conditioning on
the accepted values in the corresponding accept-reject process. Neither
does it seem feasible to apply the ideas proposed in Section 5.2 of Rao-
Blackwellising a data augmentation sampling scheme, For this to be
done we need a convenient decomposition (t, s) of the observed vector
:e in order to alternate sampling from p(t Is, 00) and p(s [ t, 00). This
is not an obvious task.
Nevertheless, I think that the research' lines proposed by Profes-
sor Casella are very promising. MCMC methods allow the growing
complexity of the statistical models considered, and more complex
Metropolis-Hastings algorithms are being used. Gibbs sampling has
a poor mixing performance in high dimensional problems (as is usually
the case of geographical: data) and more sophisticated algorithms are be-
ing proposed (see e.g. Geyer and Thompson, 1995): The development
of statistical treatments of their output has to be welcome as a means to
strengthen their utility.
Inference from the Algorithm. On the other hand, the suggestions ex-
posed in Section 5.1 seem worth exploring in the problem at hand. In
fact, when we are trying to maximize a log-likelihood function estimate
based on (2),
A

g(O l ~c) = t ' O - log(d(0)) + constant (3)

the ratio of constants estimate d(O~) is mostly determined by the extreme

outliers of the simulated sequence {ti : i -- 1 , . . . , n}. Maximization
of (3) to get 0, our estimate of the true maximum likelihood estimator
0, will be based only on a few outermost observations ti.
Maybe it could be better to partition the whole sequence into small
subsamples {{ti : i = ra + ] , . . . , ( r + l ) a } : r = O,...,n/a-
1}, from which we could get a sequence of log-likelihood estimates
{g(O I x)r : r = 0 , . . . , n / a - 1}. Their maximization will produce a
Statistical Inference and Monte Carlo Algorithms 983

sample: {Or : r = 0, ... ,n/a - 1} of estimates of the true maximum

likelihood estimator/). The characteristics of this sample could help in
monitoring the maximization process: This is a challenging point whose
potential benefits deserve further research.
B a y e s i a n readers can translate the problem above to their favorite
framework by just adding the required prior 7r(O) to the likelihood (1)
and trying to find the mode of the posterior.
Decision Theory and Algorithms. This is the idea in the paper that I
liked the most: to embed MCMC algorithms in appropriate decision
problems:. There are many decision s to make when running an MCMC
procedure (sampling scheme, choice of estimator, stopping rule, etc.).
Professor Casella has illustrated the benefit of this approach in some
interesting cases. The relevant aspects in practice will come up once we
establish the problem in a complete decision framework that takes into
account the consequences of our choices. Although it seems in its first
steps, I believe in a quick enriching development of this subject whose
usefulness is foreseeable.

DANIEL PEiqA (Universidad Carlos III de Madrid, Spain)

When I first read this paper I was very disappointed. I found that
I was in complete agreement with the main ideas presented on it and
therefore my duty as a referee of playing devil's advocate was a very
difficult one. Finally I accepted my limitations to be a good discussant of
this paper and decided to say what I really believe: This is a wise paper
and I am thankful to the editor of Test for giving me the opportunity to
comment on it.
From my point o f view the paper: has three main messages. The
first one is that: we can become better statisticians b y adopting a prag~
matic approach in which Bayesian and frequentist inference are seen as
complementary rather than adversariaL The second one is, that there is
a risk that today's computer facilities lead us to forget about the intemal
consistency of the model we are using. This point is very well illustrated
by an example in which we may end up estimating, by Gibbs sampling,
anon existent posterior distribution. The third messageis that we should
apply the statistical analysis wepreach to the data generated by a com-
puter algorithm a n d in this way we can: not only improve the present
algorithm but also create new better ones.
284 George Casella

Professor Casella's point of view is that the Bayesian approach is

better for the construction of optimal estimators whereas the frequentist
one is better for the global evaluation of their properties. I agree on this
point. Conditioning on the data has proved to be a very useful method to
build estimators but it is not as useful to evaluate their properties which
requires integration over the sample space. The same idea has been
expressed in a different way by Box (1960) to explain the complementary
role of these two statistical methodologies: we need Bayesian inference
for estimation and frequentist inference for model checking.
The advantage of Bayesian inference is that it provides a general
framework to combine different sources of information in model param-
eter estimation. Also, as it is well known, any admissible frequentist
estimate has a Bayesian interpretation and the Bayesian approach pro-
vides straightforward solution in situation in which classical methods
are controversial. To quote just but one example, consider the problem
of estimating a vector parameter 0 by combining information from two
normal random variables X and Y where E ( X ) = 0, E ( Y ) = 0 + ~,
V a t ( X ) = o-21, and V a t ( Y ) = 7"21. Maximum likelihood leads to the
simple estimate 0 -- X, and ( = Y - 0, in which information about
0 coming from Y is not taked into account in the estimation. Assum-
ing prior distributions 7r(0) ,-~ N(0, voI), 7r(~) ~ N(O, "~I), and letting
v0 --~ c~, it is easy to show that the mean of the posterior distribution is
given by

0 .2
E(OIX, Y ) = X - (0.2 + r2 + 72 ) ( X - Y)

and this estimate minimizes the Bayes risk and is admissible under weak
regularity conditions. A related frequentist solution to this problem, in
the spirit of James-Stein shrinkage estimator, has been developed by
Green and Strawderman (1991). In particular, as they showed in their
paper, this estimate can be seen as an empirical Bayes estimate. In
general, sensible shrinkage estimators have a straightforward Bayesian
justification whereas their derivation in terms of frequentist inference is
not so clear. On the other hand, when testing a model without any specific
alternative in mind, that is when we look at our model and data and try to
see if our hypothesis and the observed data are compatible, we need to
have in mind all the samples that might have been observed if the model
Statistical Inference and Monte Carlo Algorithms 285

was right. The justification of this is better understood in a frequentist

point of view. This duality explains why developments in model criticism
have mostly been carried out in the frequentist approach and much of the
Bayesian literature in the area has just tried to justify frequentist ideas and
procedures. For instance, we can find many examples in which Bayesian
estimation ideas have lead to better frequentist procedures but there
are very few examples of Bayesian diagnostic procedures which have
improved the way we do model checking in practice. Some authors have
argued that the Bayesian way to deal with this problem is to transform it
in a model selection problem which is solved by computing the posterior
probability
p(Y[Mi)p(Mi)
p(MiIY) = Ep(YiMi)p(Mi )

where Y is the sample data and (M1, M2, ..., Mk) is a set of possible
models to be considered. However this formulations has several prob-
lems: (i) sometimes we do not have a set of alternative models and we
just want to see if the one entertained can be considered a reasonable
approximation; (ii) even if we have several models in mind the present
application of Bayes theorem requires that we have a partition of the
model space, that is the models must be incompatible. In general this
is not the case. This is obvious when some models are nested, as when
selecting between a linear or a quadratic regression, but in general if
we are considering two alternative non-nested models they usually have
some degree of overlap. Sometimes we can avoid the overlap by defin-
ing all the possible combinations of cases as in selecting the best set of
explanatory variables or in outliers problems in which the number of
models is 2 n. However, this partitioning of the model space can not be
carried out in a clear way in many situations in which we need to choose
between several non nested nonlinear models.
In closing my comments on the first message of the paper I would
like to stress my full agreement with the final statement of section 2
that both approaches provide to the statistician a better understanding
and a more complete approach to statistics. For instance, Samaniago
and Renau (1994) showed that the method to be recommended in a
particular application depends crucially on the quality of the available
prior information. The conclusion of all this is that both approaches
286 George Casella

needs to be taught and both should be present in any graduate training

in statistics in either the Master or Ph.D. level.
The second important point made in the paper is that the algorithm
approach used in a problem has fundamental repercussions on the sta-
tistical inference. In the mixed model presented in the paper, assuming
some standard non-informative priors for the variances, the posterior dis-
tribution does not exist and the inference we obtain by Gibbs sampling
does not make any sense. This result stress the need of a careful as-
sessment of the prior distribution in the multiparameter situation mainly
in the case in which have mean and variance parameters. Ibrahim and
Laud (1991) have showed that if we use Jeffreys's priors under general
conditions in generalized linear models the posterior does exit. The pa-
per gives a theorem for the mixed model that is similar in spirit to the
one given here and I would ask the author to comment a little bit more
on this relationship.
I have found very interesting the application of the Rao-Blackwell
theorem toimprove the Accept-Reject algorithm. It is a nice example
of using the output of a statistical algorithm to improve it, and I would
like to add three other examples to the ones presented in the paper.
The first one is using the information provided by Gibbs sampling
to improve the convergence of the algorithm when the parameter space
is high dimensional and there exists strong correlations among the pa-
rameters. This idea has been used by Justel and Pefia (1996b) in outlier
regression problems with strong masking. These authors showed that
Gibbs sampling will fail in this case (Justel and Pefia, 1996a) and devise
a procedure in which the first runs from the Gibbs sampling are used
to learn about the structure of the problem and to modify the starting
condition. In this way this modified adaptive Gibbs sampling converges
to a solution whereas the standard algorithm does not. The second one
is in resampling methods to compute robust estimators. The present
algorithms are based on random sampling, and do not take into account
the information obtained from previous drawing or from the structure of
the problem. For instance, in regression problems we know that points
with X variables close to the mean cannot at the same time be outliers
and have a small residual. On the other hand we know that high leverage
outliers will have a small residual whatever the value of the response
variable. If we want to build robust estimates by sampling it seems to
be more efficient than random sampling to use stratified sampling where
Statistical Inference and Monte Carlo Algorithms 287

the allocation takes into account the likelihood that each strata includes
unidentified outliers. Pefia and Tiao (1992) showed, in a related prob-
lem, that if instead of random sampling we use preliminary information
to stratify the observations we can obtain a bettei" procedure. Finally, I
believe that the use of time series models in the analysis of the output
of sequential algorithm can lead to substantial improvement in judging
convergence. In particular the use of multiple time series models in the
analysis of the output of a parallel algorithm seems to be a promising
area of future research.
In summary a have found this paper very stimulating and full of
insights. It gives me a great pleasure to congratulate Professor Casella
for this outstanding contribution to our journal.

DAVID RIOS INSUA (Universidad Politgcnica de Madrid, Spain)

Professor Casella makes a very interesting contribution to the study
of relations between statistics and algorithms. This topic is extremely
vast ranging from Monte Carlo tests and confidence intervals to resam-
piing methods and the probabilistic analysis of algorithms. Casella has
concentrated on the hottest topic in the area, that of Markov chain and
Monte Carlo methods.
Since their popularisation in Gelfand and Smith (1990), these meth-
ods have had a tremendous impact on Bayesian statistics, facilitating
analysis of complex models, far more complex than we would have
dreamed of a decade ago. Yet, with practice, we are recognising that
life is not as simple as promised. Anyone who has done serious work in
the area must have faced some of the many potential problems awaiting.
As an example, in an earlier version of joint work with Peter Muller on
Bayesian analysis of neural network models, we produced a seemingly
sensible posterior described by a nice looking histogram. Many readers
and listeners of this work were not able to suggest that the reported pos-
terior was not right. We later discovered a bug in our programs, leading
to the, what we believe now, right version of the posterior, see Muller
and Rios Insua (1996). Incidentally, that was an example in which some
of the MCMC folk theorems did not work. For example, blocking of
some of the parameters did speed up the algorithms, but the same did not
happen for other groups of parameters. A similar phenomenon happened
with marginalisation.
288 George Casella

Reflecting on our experience and Casella's paper, three main ideas

come to mind. The first one is that there is a clear need in the field
to provide guidelines on reporting computational experiments. This
is becoming more important given the increasing impact of simulation
methods in Statistics, and the many phantom posteriors that we are dis-
covering. Perhaps, an updated version of Hoaglin and Andrews (1975),
not much followed so far, seems in order. These guidelines exist in other
fields like mathematical programming, with very healthy effects.
The second one is that Markov chain Monte Carlo seems like a
minefield and we need some kind of roadmap with suggestions of when
to use what. Of course, we still need much more experience with the
methods. Casella's paper is a nice step on uncovering the dangers of
using improper priors within MCMC, namely that the posterior may
be improper and this may be difficult to detect. One way forward,
if, for convenience, we insist on adopting improper priors, could be
to use sensitivity analysis, as follows. In many cases, there will be
a sequence of proper priors converging to the desired improper prior.
We could then compare the output produced with those proper priors
and the improper prior. Computationally, the approach would not be
too onerous, since we could adopt a sampling-resampling perspective,
Smith and Gelfand (1992). Conceptually, the approach would provide
a much better exploration of the posterior. Theoretically, the approach
also entails a number of interesting problems.
As far as the specific example (Figures 1 and 2) in the paper is
concerned, one would have expected much more mass near zero. We
could wonder whether the sample sizes used are big enough, or whether
there might have been problems with the random number generator used,
which typically have problems generating numbers very close to 0 or 1.
The third idea is that in spite of Tierney's (1994) review, the sta-
tistical literature has remained relatively ignorant of the operations re-
search and traditional simulation literature, on issues like initialisation
bias, output analysis and variance reduction, see Rios Insua et al (1997).
In that direction, Casella's paper is also a fine contribution analyzing a
strikingly powerful conditioning technique for variance reduction, based
on variants of Rao-Blackwellization. One could wonder how this tech-
nique compares with more traditional output analysis or variance reduc-
tion methods, specially in the case of dependent data, rather than with
independent data as with the Accept-Reject algorithm.
Statistical Inference and Monte Carlo Algorithms 289

As a final comment, in consonance with Casella's discussion on the

interface between classical and Bayesian approaches, and his suggestion
of viewing the output from a Monte Carlo algorithm as data, we would be
curious to know whether, in his opinion, Bayesian statistics have much
of a role in their analyses, given that in this context we are able to gather
endless amounts of data.
JOSI~ M. BERNARDO (Universitat de Valkncia, Spain)
I have very much enjoyed Professor Casella's exposition, and find
myself in basic agreement with most of his points. There are, however,
some differences of interpretation that I would like to point out:
1. Proper versus improper priors. The disturbing fact that people
have published Bayesian posteriors which apparently do not exist, be-
cause they are based on undetected null Gibbs chains, may tempt some
readers to conclude that this is yet another instance of the dangers of
using improper priors and that all will be fine if proper priors had been
used in the first place. But this is certainly not the case.
What probably happens in the examples described is that the Gibbs
algorithm in fact is using an "automatic" proper approximation to the
assumed improper prior, by selecting points in bounded approximations
to the unbounded spaces, mirroring the proper approximation to an im-
proper prior which may usually be obtained by truncation. However,
if the prior (proper or improper) does not make sense in the problem
at hand, the results are not going to be sensible. A prior which leads
to an improper posterior will never make sense, but a proper approx-
imation to that prior will not make sense either, even if it technically
leads to a proper posterior. Generally speaking, one should not blame
impropriety for the unsatisfactory results often obtained in multiparam-
eter situations from the use of na'fve "default" priors, --marginalization
paradoxes (Dawid, Stone and Zidek, 1972), strong inconsistency (Stein,
1959) or the null Gibbs chains discussed here--, for proper approxima-
tions to those priors will not work either. What it is necessary is either
to specify a true multivariate subjective prior, what is pragmatically of-
ten next to impossible, --and for some people it is even undesirable--,
or to use a "sensible" default prior which, in particular, must lead to a
posterior for the quantity of interest which is dominated by the data.
In the one-way random effects model discussed in Example 4, the
use of the "standard" improper power priors on the variances is a well
290 George Casella

documented case of careless prior specification; I would really like to see

the example reanalyzed with what I would argue to be the appropriate
default prior to make inferences about the variances in that problem,
namely the reference prior

7r(/3,~r2,o -2) oc cr-Cno'/-2 (n - 1) + cr2 + TtO"2

where Cn = 1 - v / ~ - l ( v / - ~ + ~ ) -3 (BergerandBernardo, 1992),

which, naturally, leads to proper reference posteriors, for both ~r2 and
cry, for any sample of size n _> 2.
2. Bayesian evaluation of improved algorithm. The idea of using
statistical techniques for improving the result from MCMC runs by us-
ing more sophisticated estimates than the obvious arithmetic average is
certainly appealing, and the results on Section 4 provide a frequentist
argument for its use, by showing a decrease in the mean squared error.
However, as a convinced Bayesian who would use Gibbs to numer-
ically estimate a posterior I cannot analytically obtain, I wonder what
the advantages are from a Bayesian viewpoint. Presumably, one would
expect to see an appreciable reduction of the variation of the estimated
posterior when several Gibbs chains are run with the same data and, say,
different starting points. It would be nice to see how this works is the
simple Ga(x l a, 2a) model discussed in Example 5.

~(~)
8

(2

2 4 6 8 i0
Figure 1. Reference prior for the parameter of a Ga(z I a, 2~) model.
Statistical Inference and Monte Carlo Algorithms 291

Of course, the results may depend on the prior used. Since this is a
one-parameter regular model, the reference prior is also Jeffreys' prior
(Bernardo, 1979), namely

( 1)1,
@,() c~

where ~bt (.) is the trigamma, or first derivative of the digamma function,
and c = (7r2/6 - 1) 1/2 ~ 0.65, shown in Figure 1. It may be seen
that, in this case, the refence prior is actually close to the naive "positive
parameter" prior 7r(a) ec c~-~.

R A. G A R d A - L O P E Z and A. GONZALEZ
(Universidad de Granada, Spain)
We should first like to congratulate Professor Casella for his clear and
detailed explanation of all the aspects concerning the interrelationship
between statistical theory and computational algorithms, in particular
the Gibbs sampler and the accept-reject algorithm. His talk has been
highly methodological as far as all aspects of the choice of algorithm
and its subsequent effects on the inference are concerned. What we
consider to be especially important are the conditions for generating
proper posteriors starting from proper conditionals in the Gibbs sampler.
Some of the published results on this subject ought to be treated with a
degree of caution because the compatibility of the proper conditionals
(cf. Theorem 2 in Prof. Casella's paper) have not been adequately
investigated.
Thus, one question we should like to put to Professor Casella refers
directly to a technical aspect of his approach to the application of the
Gibbs sampler. There are at least two widely known methods of gen-
erating the Gibbs sample, the so-called single-path and multiple-path
methods. Let us suppose that we have a random vector

U= (U1,. . . , Uk)

and that we can simulate the conditional distribution of

Ui [ ( V l , . . . , Ui-1, U i + l , . . . , Uk)
292 George Casella

by using the multiple-path method we draw m independent replicates

of the first n cycles of Gibbs samples from the distribution of U, thus
obtaining the vector

U(nj) ~t~nl , . . . , t - 'rr(J)

= {rr(J) nk] ~

where (j) denotes the j-th replicate. It is clear that the successive cycles
on a particular path, U~j), u~J),..., "U~ ~) are not independent but that
cycles from different paths, U(1), U(2),..., U(nm), are indeed indepen-
dent.
With the single-path method you have only to generate one path
long enough to obtain q values for r -t- q, where r is a point at which the
Gibbs sampler converges. These q values then provide the basis for our
estimation and they all obviously depend upon the starting values.
It has already been demonstrated (cf. Geman and Geman, 1984
and Liu, Wong and Kong, 1992a), that under general conditions, both
methods result in convergence, i.e.

d
Un ,U

Nevertheless, the dependence between the values generated with the

single-path method exerts an influence on the resultant estimators (cf.
Gelman and Rubin, 1991).
On the basis of these observations we consider it worth asking Pro-
fessor Casella the following questions:
1. Are the Gibbs samples in his study based on single or multiple
starting values?
2. Has he investigated to see how the choice of cycle values might
affect the Gibbs samples thus produced and how this may in
turn affect the main result (Theorem 2) with proper posteriors?
3. Do any results exist (similar to those of Theorem 2) for variations
of Gibbs sampling as data augmentation (cf. Tanner and Wong,
1987) and substitution sampling (Gelfand and Smith, 1990)?
To come to another point raised in professor Casella's talk, that
of improving the estimators by Rao-Blackwellizing them. It is known
that in general the main problem lies in computing the estimators, but
there are other, non-parametric methods of improving them, such as the
Statistical Inference and Monte Carlo Algorithms 293

double-bootstrap. Thus our question is: Have any empirical studies

been made to compare the accuracy of the Rao-Blackwellization and
double bootstrap methods?

The following contributions were later received in writting.

J. BERGER (Purdue University and Duke University, USA)

I congratulate Dr. Casella on a very interesting article. He raises
important philosophical and practical questions.
Perhaps the main emphasis of the article is the recommended blend-
ing of Bayesian methods (at least regarding MCMC) with frequentist
methods. I am certainly also in favor of such, but do have one point of
qualification that I think is important. The blendings that Dr. Casella
actually uses as examples in the paper primarily involve the use of certain
frequentist tools, as opposed to the use of frequentist inferences. For in-
stance, he demonstrates uses (to a Bayesian) of the law of large numbers
and the Rao-Blackwell theorem, two common frequentist tools. Few
Bayesians would quarrel with use of such tools (although some might
argue that the law of large numbers is as much a Bayesian as a frequentist
tool - after all, the first general development of the central limit theorem
was by Laplace, and done in an entirely Bayesian way). On the other
hand, it is much harder to convince Bayesians that frequentist infer-
ences themselves are of particular use. In the Bayesian's ideal world of
the future, numerous frequentist tools will be taught and used, but little
in the way of actual current frequentist inference would likely survive.
(Many methods that are currently considered to be frequentist, such as
maximum likelihood, would still be around, but would be explained as
approximations to the Bayesian answers.) Today's frequentists operate
in the reverse fashion; they typically admit the considerable value in
use of Bayesian tools, but do not find much value in use of Bayesian
inferences.
I have a question about Example 4. It has been claimed that, in
situations such as this where the impropriety is due to a nonintegrable
singularity, the Gibbs sampling output is often reasonable if one does
not run the chain for too long. To be more precise, an easy "fix" for such
problems is to remove the singularity from the space by, say, introducing
the constraint o-2 > e, and the "claim" is that one will often get essentially
the same answers from the original Gibbs chain if it is of moderate length
294 George Casella

and starts at a reasonable value. This can occur, of course, only if the
chain is unlikely to visit too close to the singularity. From the author's
experience, is this claim reasonable?

A different issue concerning impropriety, which I have experienced,

relates to impropriety due to nonidentifiability. In Andrews, Berger,
and Smith (1993) we encountered the fascinating phenomenon that the
Gibbs chain for a very high dimensional improper posterior gave con-
vergent estimates for "identifiable" parameters, but not for "nonidentifi-
able" parameters. This allowed us to determine which parameters were
nonidentifiable, and to adjust the model to correct the problem. Taken
together with the "claim" in the previous paragraph, this might suggest
that impropriety is not necessarily such a concern in hierarchical models;
impropriety due to nonidentifiability will be obvious, while that due to
singularities is unlikely to affect the answer. Although such a statement
verges on sounding ridiculous, we must remember that we are operating
in an arena where we will typically never be certain that the Gibbs chain
has converged, even if we know that the posterior is proper. Hence all
we really need is assurance that, in practice, problems do not seem to
arise for the type of problem being considered (e.g., standard normal
hierarchical models). While it is fun to speculate about such issues, I
must admit that I would not really want to use an improper posterior my-
self; see also Berger and Strawderman (1996) for additional conditions
ensuring proper posteriors in hierarchical models.

Section 4 was quite interesting and had some nice surprises, but I
note that it ends up essentially with the "status quo" being supported.
The common understanding in use of "accept-reject" and "importance
sampling" includes:
(i) Importance sampling gives more accurate estimates for a single
h.
(ii) If one wants to simultaneously compute expectations for many
h, but the same Y, accept-reject will often be computationally
faster, especially if the acceptance rate is low (since then t will
be considerably smaller than n).
iii) Rescaling by a correlated estimate of one is an important vari-
ance reduction technique.
Statistical Inference and Monte Carlo Algorithms 295

Use of versions of Rao-Blackwellization does not really appear to add

much here. Later examples in the paper do, however, show considerable
gain in use of Rao-Blackwellization.
In Section 5.3, I am curious as to whether use of the optimal random
scan based on the minimax criterion is actually superior to the optimal
scan based on convergence rate (for other than the least favorable function
h, of course).

A. R DAWID (University College London, UK)

The general idea of "Rao-Blackwellisation", as a way of improving
an inference by eliminating unwanted stochastic variation, is an impor-
tant and powerful one, as this paper reconfirms. I am surprised it is
not used more widely, particularly in its simpler variants. For example,
why does any one still do accept-reject sampling (Section 4.1) for Monte
Carlo estimation of f based on a sample from 9? If the improvement
~RB of ~AR seems over-complex, a simpler approach is just to replace
I(Ui <_ wi) by E{I(Ui < wi)} =- wi, leading back to the very simple
importance sampling estimate 5z. This is the exact Rao-Blackwell im-
provement on ~AR when the number N of I,~'s generated from 9 (but
possibly rejected) is fixed, so that the number of retained terms in the
accept-reject formula is random. I am not sure of the practical value of
Casella's more intricate analysis, which takes into account the random-
ness in N; and its dependence on the stopping rule offends against some
of my deep intuitive feelings about inference. Does this extra complexity
have a real pay-off?
A good way of thinking about importance sampling is as follows.
We want to approximate the distribution with density f. To do so,
we generate points (Yi) from another density 9, and to each Yi we attach
weight wi = f (Yi)/9 (Yi). We end up with a discrete measure ~N, having
mass wi at Yi (i = 1 , . . . , N). Normalizing this (by N for unbiasedness,
or, better, by }---~N
1 wi to ensure total mass 1 and thereby improve overall
accuracy) to PN, we get PN ~ P, the desired distribution with density f.
The expectation of any function under PN then provides the importance
sampling estimate of its expectation under P. From this viewpoint,
accept-reject operates by forming an approximating distribution to P by
thinning out the (Yi), only retaining Yi with probability proportional to
wi; and attaching equal weights to the retained points. Its inefficiency
is self-evident, and that it should have been proposed at all may be
296 George Casella

attributed to a subconscious feeling that a discrete distribution must

have equal weight on every point--a position that does not stand up to
a moment's scrutiny.
Metropolis-Hastings simulation has similar features to accept-reject.
Consider a M-H chain with proposal density q(y/ I Y) and acceptance
probability c~(y, y/), satisfying detailed balance for a target distribution
P having density f:

f(y)q(y, l y ) a ( y , J ) - f(y,)q(y l y,)(~(j,y).

Let/3(y) := f a(y, y')q(y' I y)dy' be the overall probability of ac-
cepting a proposal to move from y. Suppose that we continue until
a fixed number N of proposals have been accepted. Ignoring burn-
in, thinning, etc., estimation of # := E p { h ( Y ) } by its corresponding
chain average is equivalent to estimating P by the (normalised) dis-
crete measure on the successive accepted proposals x l , . . . , XN, with
xi being assigned weight Wi, the number of trials starting from xi be-
fore the next proposal is accepted. But Wi is random, with a geomet-
ric distribution (conditioned on past x's) having mean wi := /3(xi) -1.
"Rao-Blackwellisation" thus suggests it would be better to replace the
observed number Wi of repetitions of xi by the new weight wi (assum-
ing this can be calculated). If we can actually simulate directly from
the embedded Markov chain of accepted proposals xl, x2, 99 9 XN, with
transition density "/(x' I x) : = q(x' I x)ct(x,x')//3(x), a much more
efficient procedure is obtained. If not, and we still have to generate and
reject proposals, it should still be more efficient; and it seems likely that
still further advantage could be taken of the rejected values, parallel to
suggestions of Casella and Robert (1996b).
THOMAS J. DICICCIO and MARTIN T. WELLS
(Cornell University USA)
It is a pleasure to participate in this discussion of Professor Casella's
paper on the interplay between Markov Chain Monte Carlo (MCMC)
algorithms and statistical inference. The underlying theme of this paper
is statistical inference for parameters based on MCMC output. This dis-
cussion begins with a few specific questions and then focusses on some
relationships between the Casella's minimax decision theory approach of
Section 5.3 and the literature on rates of convergence of MCMC methods
via the second dominant eigenvalue.
Statistical Inference and Monte Carlo Algorithms 297

Professor Casella begins with a very welcome call to use Bayesian

and frequentist approaches in a complementary way; in particular, his
suggestion of using frequentist performance to distinguish between and
improve upon estimators that arise from Bayesian considerations is most
reasonable. In the context of the popular general linear mixed model,
Professor Casella vividly demonstrates some seemingly catastrophic pit-
falls that choosing a prior distribution can present. Theorem 1 identifies
priors for this model that are appropriate from a Bayesian perspective.
A natural question is whether any of these prior distributions produce in-
ferences that are correct or nearly correct from a frequentist perspective.
In particular, is there any compelling inferential rationale for choosing
a = b = 1 in Example 4?
Figures 1 and 2 are certainly startling and distressing from aBayesian
perspective. However, Professor Casella appears to have a firm under-
standing of their behavior from the underlying "null Gibbs chains." Is it
possible that, despite the Bayesian catastrophe, the algorithm could be
used to produce reasonable frequentist inferences?
The Rao-Blackwellization and related methods described in Section
4 are ingenious and potentially very useful. It is not unreasonable to con-
sider them from the viewpoint of frequentist inference, given the current
interest in noninformative priors and probability matching. Typically,
the upper 1 - o~quantile of the marginal posterior density for a scalar pa-
rameter of interest is an approximate upper 1 - oLconfidence limit having
coverage error of order O(n-1/2). Ifa Welch-Peers noninformative prior
is used, this error might be reduced to O(n-1). If frequentist inference
is the ultimate goal, given that the inferences obtained from the exact
posterior distribution are at best rather approximate, is there any benefit
necessarily to using Rao-Blackwellization? What is the interpretation
of Tables 1 and 2 in connection with noniformative priors?
To view Professor Casella's minimax decision theory approach in
connection with rates of convergence of MCMC methods and second
dominant eigenvalues, some background results and notation is neces-
sary. Let { X j } be a discrete-time homogenous Markov chain on X,
with transition probability matrix P = {p(x, y) : x, y E 32}, where
P ( x , y ) = P { X j = y I X j_l = x}. Define the k - s t e p transition
probabilities by p k = { p ( k , x , y ) : x , y E 32}. The stationary mea-
sure 7r(x) on 32 of course satisfies 7rP = 7r, that is, ~-~zTr(x)p(x,y) =
7r(y) Vff C A2. Let g2(Tr)be the Hilbert space of real-valued functions
298 George Casella

on ,-V with inner product < f I g > = ~-,x 7r(x)f(x)g(x). The equi-
librium expectation o f f under 7r is then < f > - < f I 1 > = E~r(f),
and we can think of (Pkf)(x) and (IIf)(x) as operators on g2(Tr) given
by Pk(Z)(x ) = y~yp(k,x,y)f(y) and ( 1 - i f ) ( x ) = ~-'~yTr(y)Z(y). The
matrix II has rows equal to 7r and is an orthogonal projector on g2 (Tr) with
range the constant functions. The autocovariance function of ~ i f ( X i )
is

Cf(l i - J l) = E~{[f(Xi) - E~f(Xi)][f(Xj) - Erf(Xj)]},

which also equals < f I (pli-Jl _ I I ) f > = < f I (P - II)li-Jlf > = <
f I ( I - II)pIJ-Jl(I- I I ) f >. The autocorrelation function is pf(Itl) =
Cf([tl)
cf(o) 9
In Section 5.3 Professor Casella discusses the minimax properties of
the Monte Carlo average estimate of the parameter # = Erh(X). The
limiting risk function R (n) (h) in (23), can be developed further by using
the results of Peskun (1973). The fundamental matrix of Markov chains
(Kemeny and Snell, 1983) Z = ( I - ( P - II)) -1 = I + } - ~ _ l ( P k - II)
arises naturally in this limiting expression. It can be shown that

lira R(n)(h) = < h lQh >,

n---,c~

where Q = 2 Z - I - I I = ( I + P ) ( I - p ) - l ( I - I I ) . Moreover, by using

the series representation of Z and the definition of the autocovariation
function, it can be shown that limn--,~ R (n) (h) = ~-~-o Ch(k).
In this case of where {Xi} are independent, limn-~R(n)(h) =
< h [ (I - II)h > = Ch(O). The ratio

1 <hlOh>
Th =
2< h l ( I - I I ) h >
is known as the integrated relaxation time, see Sokal (1989) and Gidas
(1995). There are n/2rh effectively independent samples in a run of
length n. Note that "rh = 89Y'~,iph(i).
Professor Casella asserts that the risk function contains more infor-
mation than is contained in the rate of convergence. This assertion can
be seen using the ideas above. In the case where P is self-adjoint on
Statistical Inference and Monte Carlo Algorithms 999

g2(rc), that is < 9 [ Ph > = < Pg [ h >, one can relate the rate of con-
vergence of the chain to the limiting risk. Let the ordered eigenvalues
of P are 1 = /30 > /31 ~ f12 2 "'" ~ /3 > - 1 , where/3 equal the
smallest eigenvalue. Much work (see Diaconis and Stroock, 1991) has
focused on methods for bounding/31, fl, and/3, = max(/31, ] /3 [) that
give rise to bounds on the rate of convergence of the chain to its station-
ary distribution. As pointed out in Diaconis and Stroock (1991), there
are advantages to studying I - P instead of P. The spectrum of I - P
consists of numbers Ai = 1 - / 3 i . Using the minimax representation of
eigenvalues
< h[(I P)h >
A1 = inf = i~fll - ph(1)]
h <hl(I-l-I)h>
where the infimum is over all nonconstant functions h E g2 (~), this ratio
is called the Rayleigh quotient and its numerator may be represented as

1 E~(i)p(i'J)[f(i)- f(j)12 .
2 i,j

The rate of convergence of the chain is determined by ~1 and hence by

the infimum of ph(1) over h C g2(~) 9 Therefore, as limiting risk is
essentially a series in ph(k) and/31 is related to ph(1), the limiting risk
contains more information.
Using the ideas above we can study a special case of the random scan.
Suppose the transition matrix is a mixture of two transition matrices,
that is, P;~ = (1 - ,~)P1 + kP2. First, it is easy to see that Al(Pk)
is a concave function of )~ using the minimax representation. As for
%(P,x), a bit more work is needed. On the orthogonal complement of
the constant functions, we have that Q = 2(1 - p ) - i _ I. Using the
result of Caracciolo et al. (1990) that

< f t (A -l + B - 1 ) - l f >_< I< f t A f >-l + < f t B f >J-1

for A and B positive definite self-adjoint matrices, with A = (1 -
A ) - I ( I - / : ' 1 ) -1 and B = A - I ( I - P1) -1 it follows that

(1 -,k) < h i ( I - P1)-lh > +A < h i ( I - P2)-IA >

< < h i [ ( 1 - A)(1 - P1) + A ( I - P 2 ) J - l h > - 1 ,
300 George Casella

and

(Th(PA) -~ 1/2) -1 ~ (1 - A)[Th(P1) q- 1] -1 -}- ~[Th(P2 ) Jr- 1] -1.

Hence both [-rh(P~) + 1] -1 and A2(P2) are concave functions of A. A
consequence of this convexity is that

A2(Px) > min(A, 1 - A) sup Ae(P~,)

0<A<I
and

[wh(P~) -}- 1/2] -1 > min(A, 1 -- A) sup ['rh(PA ) ~- 1/2] -1.

O<A<I

Hence the randomized approach with A = 89is never more than a factor
of 2 from the best value of A.

PAUL GUSTAFSON (University of British Columbia, USA) and

LARRY WASSERMAN (Carnegie Mellon University, USA)
George Casella has presented us with an interesting perspective on
the relationship between computing and statistical theory. He makes it
clear that the two are inexorably intertwined. Each area enriches and
informs the other. He has also emphasized that there is an inevitable
mixture of Bayesian and frequentist ideas when one considers statistical
computing algorithms and their relationships with inference.
We agree that both Bayesian and frequentist methods are necessary
and that statistics is at its best when the two are in happy coexistence. Of
course there are many who do not agree on this point and we hope that
George's article will help convince the doubters (Bayesian or frequentist)
of the need for both.
As should be clear by now, we have little disagreement with anything
in this article. We do wish to raise a few points.
1. Averaging Conditional Densities Can Fail. The paper discusses
several aspects of the "Rao-Blackwellization" of estimators applied to
Monte Carlo output. The author also mentions the "usual average of
conditional densities" estimator of a marginal density, which is in the
same spirit as Rao-Blackwellized estimators of expectations. For brevity
we will refer to this estimator as the ACD (Average of Conditional Den-
sities) estimator. Conventional wisdom dictates that the ACD estimator
Statistical Inference and Monte Carlo Algorithms 301

of a posterior marginal density is the preferred estimator in any context

where it can readily be calculated. We would like to point out a curi-
ous and undesirable feature of the ACD estimator in certain hierarchical
model settings.
We look at an artificially simple hierarchical model in order to il-
lustrate this feature clearly. Specifically, consider a simplified version
of Example 4, where/3 and 0.2 are known, and the prior o n o.2 is locally
uniform (a = - 1 ) . Further, assume that ni = 1 for i = 1 , . . . , k, so
that we can write Y/unambiguously. It is simple to verify that the joint
posterior distribution on/_t and o.2 is proper. In what follows below, a
density for o-2 evaluated at zero will be defined as the obvious limit.
If the goal is estimation of the marginal posterior density of o.2, the
ACD estimator is
m

PACD(') -- ~'a21y('ly) = __1 Z lra2l~,y(" I#(i)' y)' (1)

m
i=1

where {#(i)}ira__1 a r e the # vectors sampled by the Monte Carlo scheme.

The conditional posterior distribution of o.2 I#, Y, which appears on the
right-hand side of (1), is inverse gamma, with shape (k/2) - 1 and
scale (1/2) x--,k
z-~i=l #2i. On the other hand, the true marginal posterior
distribution of o.Zly is identical to the conditional distribution of (T -
~ > o.e,
2 where T has an inverse gamma distribution with shape
(k/2) - 1 and scale (1/2) ~']ki_l(y i -/3)2. Thus the true posterior
marginal density for o.2 is finite and positive at 0.2 = 0. But since
the inverse gamma density is always zero at 0.2 = 0, the ACD density
estimate is always zero at 0.2 = 0, no matter how large a Monte Carlo
sample is drawn. In other words, 7r 2[y(0]y) > 0 yet PACD(O) = O.
Thus the ACD estimator is inconsistent at 0-2 = 0. It might be tempting
to dismiss this concern, since it is only an issue at the boundary of the
parameter space. But in fact an ACD estimate is going to be misleading
about the shape of the posterior marginal density near zero. This is
especially true for data sets with ( l / k ) ~-~i=lk (Yi --/3)2 < o.e'2 In such
cases, the true posterior marginal density for o.2 takes on its maximum
value at zero and is monotone decreasing, which can be interpreted as
evidence in favor of o.2 = 0. But for any Monte Carlo sample the ACD
density estimate will be zero at o.2 = 0 and will be increasing on at
302 George Casella

least some small interval extending right from zero. This suggests that
o.2 > 0. Thus the ACD estimator has great potential to be misleading
about the posterior evidence concerning small values of o.2 .
This aberrant behavior has been illustrated in a very simple model
where the posterior marginal distribution of the variance component can
be obtained analytically. The behavior seems to occur quite generally,
however, whenever a prior density which is positive at zero is specified
for a variance component. The use of such priors seems quite appropriate
in many contexts, even though inverse gamma priors, which vanish at
zero, are much more commonly specified for variance components. The
data cannot rule out the absence of a random effect (o.2 = 0), so it seems
overly confident to use a prior which vanishes as o.2 goes to zero. In
fact, one might argue that monotone decreasing prior densities should be
specified, in order to favor parsimonious models. The Jeffreys prior for
the simple model discussed above has a monotone decreasing density
which is finite and positive at zero. One disadvantage of not using an
inverse gamma prior is that the "conditional conjugacy" which drives the
Gibbs sampler will be lost. The ACD approach can be extended to deal
with this, however, based on work of Chen (1994). But Chen's density
estimator will still have aberrant behavior near zero.
In one sense it is not surprising that the ACD estimator does not
work well for variance component marginals with prior densities which
are positive at zero. In such problems, the Bayes factor for testing the
absence of random effects can be expressed as the Savage-Dickey density
ratio, which is the ratio of posterior to prior marginal densities for the
variance component, both evaluated at zero. For details see Verdinelli
and Wasserman (1995). If the ACD estimator worked well for estimating
the posterior marginal density at zero, then we would have an easy and
reliable way to estimate the Bayes factor. But invariably Bayes factors
are harder to compute than other posterior quantities. In this regard, we
are not surprised that there is no free lunch via the ACD estimator.

2. Priors for Hierarchical Models. As discussed in the paper, choosing

priors for hierarchical models is delicate. The dangers of improper
posteriors are real and insidious. The theorems reviewed in the paper
should prove valuable for guiding statistical practice. However, it seems
that many statisticians try to deal with this problem by replacing improper
priors with vague proper priors. This merely approximates an ill-defined
Statistical Inference and Monte Carlo Algorithms 303

posterior with a nearly ill-defined posterior. We would like to mention

another solution to the problem.
One output of an inference from a hierarchical model is shrunken
estimates. In some cases, conditionally on the hyperparameters, the
shrunken estimates lie between the prior mean and the m.l.e's from a
non-hierarchical model, i.e. ~Shrunk ~-- O~00 -~- (1 - a)0, say. It seems
reasonable to place a uniform prior on the degree of shrinkage a. This
implies a (proper) prior on the hyperparameters. This idea has been
used by Strawderman (1971), Christiansen and Morris (1994), Daniels
and Gatsonis (1996) and others. It is similar to a prior suggested by
DuMouchel (1994). The full generality of the idea is explored in Daniels
(1996). This prior seems to be a general way for providing proper
reference priors for hierarchical models. Yet another alternative is to
place a proper prior (such as half normal or half Cauchy) on the distance
from the "null" sampling model in which the random effect is 0. Jeffreys
pointed out that such strategies often lead to useful, proper reference
priors.
As a general remark we would add that any time improper priors
lead to trouble, we should not use vague proper priors. To do so is simply
to approximate an ill defined solution. Instead, proper reference priors
are called for. Similar problems occur in using Bayes factors to compare
models. It is well known that improper priors lead to ill-defined Bayes
factors. As Jeffreys made clear, the solution is not to use vague proper
priors but rather, to use proper reference priors.

EDWARD I. GEORGE (University of Texas at Austin, USA)

Let me begin by congratulating Casella for a masterful paper which
synthesizes and interweaves so many different ideas and points of view.
There is much to comment on, as Casella seems to open up a whole new
vista of ideas with each new section. However, for the sake of focus
(and space), I would like to confine my comments to Section 3.2 which
is concerned with the properties of Gibbs Markov chains when the Gibbs
conditionals do not correspond to a proper posterior.
The key result of Section 3.2 is Theorem 2 which tells us that a Gibbs
Markov chain will be positive recurrent if and only if the full conditionals
correspond to a proper posterior. Just after presenting this, Casella goes
on to show us (7), which at first glance suggests that useful information
cannot be extracted from Markov chains which are not positive recurrent.
304 George Casella

I believe that such a conclusion is incorrect. To see why, I would like

to discuss some examples where lower dimensional positive recurrent
components can easily be extracted from Markov chains which are not
positive recurrent.
The simplest and most obvious such example is obtained by in-
terleaving a positive recurrent Markov chain 551 _= 55~, 551..., with
a non positive recurrent Markov chain 552 = 552, 55~,..., to obtain
55 -- (55~, 5512), (55~, 55~),... which is clearly not positive recurrent. Triv-
ially, information in 55 about 551 can be exploited by simply ignoring the
552 components. Note that (7) does not apply to such functions because
the conditions on t require that it be arbitrarily small outside of a com-
pact set. This rules out functions which ignore the 552 components, since
these cannot be controlled over the range of 552.
Based on this example, it may be tempting to think that the indepen-
dence of 551 and 552 is what allows us to extract the positive recurrent
chain. However, independence is not needed, as is illustrated by the
following two examples.
In the first example, suppose the Gibbs sampler is used to generate
a Gibbs chain ( X l , Yl), (Z2, Y2), 9 9 9 from the full conditionals

f l ( x [ y ) c< e -(x+y)2/2 and f 2 ( y l x ) a< e -(z+y)2/2. (1)

The conditionals ft and f2 are only functionally compatible, correspond-
ing to an improper joint density of the form f ( x , y) c< e -(z+y)2/2. Thus,
by Theorem 2, the Gibbs chain cannot be positive recurrent. Indeed, the
subsequences xl, x 2 , . . , and Yl, Y2,..- are interrelated random walks.
This can be seen by noting that the Gibbs chain is obtained by successive
substitution into
y
xi = -Yi-1 + ~ix and Yi : - x i + ~i (2)
where Qx and s Y are independent N(0, 1) variables. However, it is also
clear from this representation that the derived Markov chain Zl, z2,. 9
where zi = xi + Yi ~ - c iY is simply an iid N(O, 1) sequence, obviously
positive recurrent.
The second example is the one from Casella and George (1992)
where the Gibbs sampler is used to generate a Gibbs chain from the full
conditionals
fl(xlY) o( ye - z y and f 2 ( y l x ) o( x e -zy. (3)
Statistical Inference and Monte Carlo Algorithms 305

As Casella points out the conditionals fl and f2 are only functionally

compatible, corresponding to an improper joint density f ( x , y) oc e -xv.
Here too, the Gibbs chain cannot be positive recurrent. However, here the
Gibbs chain (Xl, Yl), (x2, Y2), 99 9 is obtained by successive substitution
into
x
xi = ei/Yi-1 and Yi = ~ / x i (4)
where Qx a n d cY i are independent exponential variables with mean 1.
Thus, the derived Markov chain Zl, z 2 , . . , where zi =- xiYi : eiY is
simply an iid exponential sequence, again positive recurrent.
In both of the above examples, a positive recurrent chain Zl, z2,. 99
was constructed from the non positive recurrent chain ( x l , y l ) ,
(x2, Y2), . . . . It is interesting to consider how the distribution of z arises
through formal transformation of the improper density f ( x , y) corre-
sponding to the Gibbs conditionals. In the first example, where f (x, y) c<
e -(x+y)2/2, the joint distribution of z = x + y and w = y is obtained as
f ( z , W) O( e -z2/2. In the second example, where f ( x , y) c( e -zy, the
joint distribution of z = xy and w = y is obtained as f ( z , w) o( -15 c - z 9
In both of these examples, an improper joint distribution has been trans-
formed into the product of a proper distribution on z and an improper
distribution on w. Thus, in both of these examples f ( x , y) contains
a proper one-dimensional component which can be extracted from the
output of a Gibbs sampler.
In light of these examples, I would like to ask Casella about the
Gibbs subsequence of overall means/3(/), j > 1 from Example 4 where
a = b = 0. When (if ever) is this subsequence a positive recurrent
component of the Gibbs chain? I have a hunch that it will be positive
recurrent when 7r(/3[y), the posterior of/3, is proper, in which case the
subsequence will converge to 7r(/3[y). Can this be checked for the Gibbs
output from Example 4?

JUN S. LIU (Stanford University, USA)

Professor Casella has provided us with a timely exposition of an
important aspect of m o d e m Monte Carlo methods. Stimulated by this
reading, I would like to take the liberty of bringing up a few ideas on
two interesting issues.
Rao-Blackwellizing an Importance Sampler. Consider an importance
sampling scheme for a two-component random vector. Following no-
306 George Casella

tations of Professor Casella, we let the target distribution of (X, Y) be

f(x, y) and let the trial sampling distribution be g(x, y). Of interest is
the estimation of, say, ~- = E l { h ( X , Y)}, for a given integrable function
h. This can be achieved by using either rejection sampling, as demon-
strated by Professor Casella, or importance sampling (IS). Suppose that
we have drawn samples ( X X , Y I ) , 9 9 9 (Xn, Yn) from g(x, y). A standard
IS estimate of 7- is
1 n f(x,y)
~- = - E w(xi, yi)h(xi, Yi), where w(x, y) = 9(x, y)
n i=1

A rescaled estimate, as illustrated in Section 4.2 and used in Casella and

Robert (1996b), Kong et al. (1994), Liu (1996) etc., is
1 n n
~---~ ~Ew(xi,Yi)h(xi,Yi), where W= Ew(xi,Yi).
i=1 i=1

Besides the advantage mentioned by Professor Casella, using the resca-

led estimate ~ allows us the flexibility of knowing f and 9 only up to
a normalizing constant. This advantage is much more pronounced in
complicated problems (Kong et al. 1994). Because asymptotically the
two estimates are equivalent and also because "7-is much more approach-
able mathematically, we will use ? for theoretical discussions, although
practically we advocate using "~ all the time.
There are two ways of Rao-Blackwellizing: conditioning on either
X or Y. If conditioned on Y, for example, we have

E a { w ( X , Y ) h ( X , Y ) I Y = y} = / h ( x , y ' ~ f(x'y) g(x

= Wy(y)Ef{h(X, Z) I Z = y},
where Wy(y) = fy(y)/gy(y). A more efficient estimate than ? results:
n
1 ~Wy(ydEf{h(X,Y))]Y=yi}.
i=1

When h is a function of one component alone, say h(x, y) = h(y), the

estimate ;rrby is reduced to
n

1 E Wy(Yi)h(yi).
i=1
Statistical Inference and Monte Carlo Algorithms 30"l

A quite different intuitive interpretation of this R-B effect is that margi-

nalization reduces importance sampling variation. MacEachern, Clyde,
and Liu (1996) derived one special case of this fact, and Rubinstein
(1981, Section 4.3.7) recorded another.
Under this formulation, the importance sampling can be treated ap-
proximately as a Rao-Blackwellized rejection sampling; hence, it is
statistically more efficient. This fact has been established by Casella
and Robert (1996b) in a sophisticated setting and will be re-derived here
more directly and heuristically. Let (Ii, y~), i = 1 , . . . , n, be jointly
drawn according to the acceptance-rejection rule; that is, the Yi are iid
from a trial distribution g(Y), and the conditional distribution [Ii I yi]
is Bernoulli(r(yi)) with r(y) = f(y)/Mg(y). Suppose the stopping
effect of this rejection sampling can be safely ignored. Then Ii plays the
role of xi in the foregoing argument; and the R-B counterpart of tSAR in
(10) of Casella is
1 n
5IS = -
n E w(yi)h(yi).
i-----1
Without loss of generality we assume that T = 0. Then, since M >_
maXy{W(y) },

nvar(SAR) ,~ Mvarf{h(Y)} > f Wmaxh2(y)Z(y)dy

> f -f(Y)
~ h 2(y)f(y)dy = Eg{w2(y)h2(y)}
J
= varg{w(y)h(y)} -= nvar(Sis ).
An effort of comparing the two samplers with the Metropolized inde-
pendence sampling was made in Liu (1996). Since the advantage of
the rejection method is that exact draws from f can be obtained, it is
sometimes useful to combine the two samplers when one wants to reduce
importance sampling variations (Liu, Chen, and Wong 1996).
In many practical problems, the marginal weight Wy(y) is difficult
to compute, whereas the conditional expectation Ef{h(X) [ Y = y} is
relatively easy to obtain. In such cases, as shown in Kong et al. (1994),
one can use a partial RB-estimate
n

1 E w ( x i ' Y i ) E f {h(X'Y) IY = Yi},

i=1
308 George Casella

which is easily seen to be unbiased and consistent. Although many

numerical results show that significant improvements can be obtained,
optimality properties of "7-prbare difficult to come by.
Imagine that a partial R-B is applied twice; then each summand of
"~prb,Ey{h(X,Y) I Y = Yi}, is substituted by Ef[Ef{h(X,Y)IY}[
X = xi]. By applying partial R-B repeatedly, each summand has the
form of iterative conditional expectations:
Ef[...EI{EI{h(X,Y) I Y} I X}... I'],
whose limit converges to the true value T. This form alludes to the
Gibbs sampling structure (Liu, Wong and Kong 1994, 1995). When
analytical evaluation of these iterative conditional expectations is not
feasible, one is naturally reminded of the Gibbs sampler. A suggestion
thus derived is that incorporating a Gibbs sampler or any MCMC step
into an importance sampling scheme can be useful (MacEachern et al.
1996).
The Gibbs Samplerfor Incompatible Conditionals
An impressive result of Hobert and Casella (1996) is concerned
with the stochastic instability of Gibbs sampling with incompatible - -
but functionally compatible - - conditionals. I would like to venture
on the functionally incompatible case. Consider the following exam-
ple: suppose that the two conditionals fl(ylx) and f2(xly ) are given as
follows:

y=l y=2 x=l x=2

fl(y[x): x = 1 0.9 0.1 f2(xlY): y = 1 0.4 0.6
x = 2 0.3 0.7 y = 2 0.2 0.8
It is easy to show that f l and f2 are not functionally compatible using
Besag's (1974) criterion. When running a systematic-scan Gibbs sam-
pier, the concept of "limiting distribution" becomes a little complicated.
In fact, the sampler has two limiting distributions depending on whether
stopping at x or at y, i.e., whether (x, y) or (y, x) is defined as a joint
state. T h e t w o l i m i t i n g distributions are

y = 1 y=2
~l(x,y): x=l 0.26591 0.02955
x = 2 0.21136 0.49318
Statistical Inference and Monte Carlo Algorithms 309

y=l y=2
7r2(x,y) 9 x = 1 0.19091 0.10455
x = 2 0.28636 0.41818
The sampler is, therefore, a combination of two positive recurrent Mar-
kov chains; and depending on how to define the joint state, the sampler
converges into two different, though very close, distributions. When
running a random-scan Gibbs sampler, however, a proper limiting dis-
tribution - - that is the mixture of the two distributions given above - -
exists.
Under some regularity conditions that are satisfied in most prac-
tical situations, Tx(xo,zl) = ffl(y[xo)f2(xl[y)dy defines a posi-
tive recurrent transition function for the X space, and Tu(yo, yl) =
f f2(xlyo)fl (yl [x)dx defines that for the Y space. Hence two limiting
distributions 7rl (x) and 7r2(y), for Tx and Ty, respectively, are uniquely
determined. In the incompatible case, we observe that

71"I(X,y) ~ 7rl(x)fl(y l x) 7s 7r2(Y)f2(x l Y) = 7r2(x, y).

But

Trl(X)fl(y l x)dx = 7r2(y) and /Tr2(y)f2(x l Y)dY = 71"l(X).

Let 791 be the set of all probability distributions compatible with

fl(ylx), and let 792 be that for f2(xly). Then 7rl(X, y) C 791, 7r2(x, y) C
792, and 71"1 and 7r2 have identical marginal distributions. On the other
hand, if two distributions Pl (x, y) C 791 and P2 (x, y) C 792 have identical
marginal distributions, they have to be the same as 7rl and 7r2.
Due to numerical approximation in practice, we may end up having
slightly incompatible conditionals. If the numerical error is small, the
resulting Tz will be very close to the one, say, T~, resulting from the
compatible conditionals. This implies that the eigenvalues and eigen-
vectors of Tz and T~ are close to each other (true in the finite state space
case); hence, the resulting limiting distributions are similar. It further
suggests that no disasters are to be expected as long as the numerical
approximation is reasonably accurate. The argument may be extended
to a Gibbs sampler with more than two components. For a k component
sampler, a systematic scan with a particular sweeping order will have
310 George Casella

k limiting distributions, depending on which component the sampler

stops. The total number of such limiting distributions is kt. The limit-
ing distribution for a random-scan sampler is then a mixture of these k!
distributions.

XIAO-LI MENG (The University of Chicago, USA)

Posterior Checking. My discussion will focus on only one issue: check-
ing the propriety of a posterior resulting from the Gibbs-sampler speci-
fications. Professor Casella's article is much broader, touching on many
issues that are of current interest to me (e.g., the emphasis on being re-
ceptive to both frequentist and Bayesian perspectives; the interplay of
algorithms and inferences; the connection between EM-type algorithms
and the Gibbs sampler). However, due to stringent time constraints
(being a father of a newborn and a 16-month-old, I had to prepare this
discussion in between frequent posterior checking; no impropriety was
found, though I did learn why it is a good idea to avoid a sensitive
posterior), I have to skip this great opportunity for advertising several
related papers that I authored or co-authored. Nevertheless, I want to
thank the Editor, and of course the author, for providing me with such
an opportunity.
Recursive De-conditioning and Conditional Compatibility. The need for
checking the compatibility of conditional distributions reminds me of an
identity I learned more than a year ago. Let p(xl, x2) be a probability
density function with respect to a product measure # = #1 • #2 and
with a support in the form ~1 • f~2; we thus are assuming the positivity

p(Xl) = p(x2 I Xl) #2(dx2)

]1
assumption of Hammersley and Clifford (c.f., Besag, 1974). Then

(1)
2 p(Xl Ix2)

which is a trivial consequence of the well-known identity

p(x2 Ix1) p(x2)

(2)
p(ml l m2) p(xl)"

While identity (1) also provides an explicit formula showing how p(xl I
x2) and p(x2 I Xl) uniquely determine p(xl, x2), it seems to be much
Statistical Inference and Monte Carlo Algorithms 311

less well-known than the standard formula for proving uniqueness:

p(xl)
p(Xl I Xt2)
P(4 I z 0 '
for any fixed E ft2, (3)

which also is an immediate consequence of (2).

I learned the expression (1) from a presentation by Ng (1995). My
immediate reaction was that it must be my ignorance that I had not seen
(1) in this explicit form. However, Ng assured me that he had checked
with several leading experts in this area (e.g.J. Besag, W. H. Wong),
and it seemed that the identity (1) was "mysteriously" missing from the
general literature. An apparent explanation for this "mystery" is that (1)
is not useful in general for calculating p(xa) and thus p(xl, x2) since a
main reason we use the Gibbs sampler is our inability to perform ana-
lytical integration, which is required by (1). However, in the context of
checking the compatibility ofp(xl {x2) and p(x2 ] Xl), the expression
(3) offers no advantage over (1). Both require us first to check whether
p(xl { x2) and p(x2 I Xl) are functionally compatible, which amounts
to checking whether (2) is possible, that is, whether we can write

p(X2 I Xl ) p2(X2)
(4)
p(xllx2) pl(Xl)

for some (positive) functions Pi, i = 1, 2. Given (4) holds, we then

need to check, for (1), whether ff~2b2(x2) #2(dx2) is finite, or, for (3),
whether fa I i~1(xx) #1 (dxl) is finite. Under (4), these two integrations
must yield the same value (allowing +e~) by Fubini's theorem, and thus
one can always choose one to check (e.g., xl and X2 may be of very
different dimensions), as emphasized by Arnold and Press (1989). Of
course, these arguments also imply that there is no advantage to using
(1) in the simple case involving only p(xl I X2) and p(x2 I Xl).
Reading Section 3 of Casella's article (and Hobert and Casella, 1995)
made me wonder about the comparison between (1) and (3) for checking
the compatibility of {p(xi I X-{i}), 1 < i < m} when m > 2, where
X = { X l , . . . , Xm} and X - s denotes {xj, j ~ S}. I thus decided to take
a closer look at this comparison and the rest of this discussion reports
what it generated. I doubt anything I discuss here is new (though I have
not seen the recursive scheme described below), since everything follows
312 George Casella

in a straightforward manner from (2); my discussion is thus more of a

review nature, intended as a technical supplement to Casella's general
review of the important issue of checking compatibility.
For m > 2, a direct generalization of (3) is (see Besag, 1974; Gelman
and Speed, 1993; Hobert and Casella, 1995)
m I
I-Ij=2p(xj l xl,x2,... ,Xj-I,Xj+I,... ,Xtm)
m !
YIj=2p(x} l xl,x2,... , X j - I , X j + I , . . . ,X~)

for any fixed ( x ~ , . . . , X~m) C 1-I f~k.

k_>2
(5)
Since the indices ( 1 , . . . , m) are arbitrary, we actually have m! ways of
obtaining p ( x l , . . . , Xm) via (5). Specifically, Hobert and Casella (1995)
define
YIjm=l P(Xli I Xl~,''',Xl~_l" ,X t.lz ," " " ,X t. )
3 j+l l~
gi(Xl,... ,Xm) : rij=2p(xl
m i i Xl~,Xl~,...,Xl~_l,X 'l~ ... ,xt. ) '
tj +1 ~ l~n
(6)
where li = (l~,/~,..., I/m) represents a permutation of ( 1 , . . . , m) and
( x ~ , . . . , X~m)is a fixed point in f~deff~l • • f~m. Hobert and Casella
(1995) then show that {p(xi I X-{i}), i = 1 , . . . , m} are functionally
compatible if and only if there is a (positive) function g(xl,..., Xm) on
f2 such that gi(xl,... ,Xm) c< g(xl,... ,Xm). Furthermore, if {p(xi I
X_{i}), i = 1, . . . , m} are functionally compatible, then they are com-
patible if and only if

f 1
""f~
m
g(xl,...,Xm)#m(dxm)'"#l(dxl) <oc. (7)

Finally, p ( x l , . . . , Xm) ~: g ( X l , . . . , Xm) when (7) holds.

To apply (1) for m > 2, we first note a conditional version of (1),
that is, for any A ~ {i,j}, i r j,

p(xj I xi,X-A) (dxj) (S)

p(xi I X_A) --~ p(xi I x j , X _ A ) # J
J
Statistical Inference and Monte Carlo Algorithms 313

The right-hand side of (8) may be viewed as a "de-conditioning" operator,

that is, with the help of p(xj I xi, X-A), it turns p(xi I xj, X-A) into
p(xi I X - A ) - - de-conditioning out xj. It is obvious that this de-
conditioning operator can be applied recursively to further de-condition
out variables in X-A. To be more precise, let .T" be the set of positive
functions (allowing the value +oo) on f2 (almost surely with respect to
def
# = #1 x -.. x Pro; hereafter, I will not repeat such measure-theoretic
statements). For any 1 _< k < m, we define a mapping 7) k from 5c x 9t-
to bc, such that for any fl, f2 E ~ :
-1
ki,l: l= f2(Xl, -Xk, -Xm) #k(dxk)
(9)

Now for a given set of conditionals {p(xi I X_{i}), i = 1 , . . . , m},

we view them as elements of 5 and label fil : p(xi t X-{i}), i =
1 , . . . , m . W e t h e n d e f i n e { f i j , i = j , . . . , m ; j = 2 , . . . , m } recursive-
ly via

fij = {Dj-l[fj-l,j-l : fi,j-1], i = j,... ,m; j = 2,...,m. (10)

Clearly, fij depends on X only through {xj,... ,Xm} so we write

fij(xj,...,xm) whenever explicit arguments are needed. By (8), it
is easy to show via induction that if {fil, i = 1 , . . . , rn} are derived
from a joint density p(xl,..., Xm), then

fij(Xj,... ,Xm) = p(xi ] X_{1,...,j_l,i}), for any i _ > j , j _ > 2 ,

(11)
and in particular

p(xl,...,Xm) = I I fjj(xj,...,Xm). (12)

j=l
We thus learn that, in order to have compatibility of {fil, i = 1 , . . . , rn},
it is necessary that for any rn - 1 _> j _> 1 and i _> j + 1 9
(I) fjj and fij are functionally compatible conditional on X_Aij
where Aij = { 1 , . . . , j, i}; namely, we can find functions fi(xi; X-Aij)
314 George Casella

C 5c and -fj (xj;X_Aij) E .Y~ such that

fjj(xj,...,xm) X-A j) for (xj,... ,Xm) e H f~k;

fij(xj,...,Xm) - ?i(xi;X_Aij)' k>j
(13)
and
(II) The functions fi and .fj found in (13) must satisfy

f ?j(Xj; X-Aij) #j(dxj) = f ?i(Xi; X-Aij ) ~i(dxi) < +0<2,

for X_Ai j C H ~k.
(14)

k>j,kT~i
Conditions (I) and (II) amount to the conditional compatibility of fjj
and fij conditional o n X_Ai j . Because of (12), these conditions are also
sufficient for the compatibility of {fil, i = 1,..., m). In other words,
{p(xi ] X-{i}), i = 1 , . . . , m } are compatible if and only if (I) and (II)
are satisfied for all m - 1 > j _> 1 and i _> j + 1.
A matrix representation of {fij, i >_ j, j = 1 , . . . , m} perhaps can
help to visualize the recursive de-conditioning process defined by (10).
Table 1 gives the representation with m = 4, where we use [. I~.] to
denote conditional density (e.g., [4[3]aefp(x41x3)) and "k" to indicate
the elimination (i.e.,"de-conditioning") of Xk from the variables that are
being conditioned on.

Table 1. A MatrixRepresentationof RecursiveDe-conditioning

f~j j=l j=2 j=3 j=4

i= 1 [1 1234]
i= 2 [2[ 1341 [21/I34] ~ [2 134]
i 3
= [31 124] [31/124]~ [3124] [31241 ~ [314]
i=4 [41 123] [41/I23]- [41 23] [4123]- [41 3] [4J~] -- [4]
Statistical Inference and Monte Carlo Algorithms 315

The matrix representation makes it easier to track the de-condi-

tioning process, especially because each column corresponds to de-
conditioning out one variable, starting from the finest conditioning (j =
1) recursively down to no conditioning (j = m). It also makes it clear
that {fil, i = 1 , . . . , m} are compatible if and only if {fij, i > j }
are conditionally compatible (as defined by (I) and (II)) for each j =
1,...,m-1.
To illustrate the use of (I) and (II) for checking compatibility, let us
consider the normal example used by Hobert and Casella (1995):
m
1
fil =--p(xi I X_{i}) (x exp{---~(xi--piExk)2}, i~- 1,...,m.
kr
(15)
Here the pi's are constants, and the goal is to identify conditions on pi's
under which {p(xi [ X_{i}), i = 1 , . . . , m} are compatible. Since for
any i > 1 the only term in the exponential part of f l l / f i 1 involving x l x i
is ( P l - - p i ) x l x i , (13) is satisfied if and only i f p l = Pi. This yields a
necessary condition for the compatibility: Pi -~ P for all i. Under this
necessary condition,

fll exp {--(1-:2) (Xl-- lP-~Tli)2}

(16)
fil exp { (
(1-~p21 xi -- lP--_pTli

where Tli = Y~kr xk. It then follows that (14) holds if and only if
p2 < 1, under which

fi2 c< exp { (1 --

2
p2) xi
1-p
Tli / '
i = 2 , . . . , m. (17)

No further integration is needed if we notice that checking the conditional

compatibility of (17) is the same as that of (15) with Pi -- P, in the sense
that both can be written as

fij c< exp - - ~ ( x i - /3j E xk) 2 } , i=j,...,m, j=1,2,

k>j, kr
(18)
316 George Casella

where cl = 1, 2 = 1 - p2,91 = P, 92 = Zl/(1 - Zl) = p/(1 - p).

Thus {fi2, i = 2 , . . . , m} are conditionally compatible if and only if
/322 < 1. By induction, f o r j = 3 , . . . , m - 1, { f i j , i = j , . . . , m } are
conditionally compatible if and only if/3~ < 1, where ~j = / 3 j _ 1 / ( 1 -
/3j-l) = p / ( 1 - ( j - 1)p). Thus {fil, i--- 1 , . . . , m } are compatible
if and only if/32 < 1 for all j = 2 , . . . , m - 1, which is equivalent to
- 1 < p < 1 / ( m - 1). Hobert and Casella (1995) used (5)-(7) to reach
this conclusion, which can also be obtained by noticing that the common
correlation among { x l , . . . , X m } is given by p / ( 1 - ( m - 2)p), which
must be between - 1 / ( m - 1) and 1, exclusively.
Of course, the simplicity of this example is largely due to the sim-
plicity of the model, especially due to the normality which is preserved
under de-conditioning. In general, the requirement of analytically cal-
culating the 79k mapping contradicts the goal of using the Gibbs sampler,
and thus the recursive de-conditioning method via the 79k mapping, when
used as a sufficient check, is typically useless in practice when m > 2
(except for special conditional densities, such as normal). This perhaps
further explains why this method, though mathematically interesting,
has been ignored in the literature (except, perhaps, in the written version
of Ng (1 995), which I have not had an opportunity to study).
Fortunately, the comparative study is not without any positive mes-
sage. The recursive de-conditioning scheme itself, as depicted in Table
1, has something to be recommended. In contrast to (5)-(7), it involves
only two (conditional) functions at a time, and the check of the integra-
bility only involves marginal integrations (see (14)). More importantly,
it can tell us at which level of conditioning the densities (in fact which
conditional density) become improper (e.g., for the normal example,
{P(Xi I X - { 1 .....j-l,/}), i >_ j} are proper for all j _< k but are im-
proper when j = k + 1 if and only if (k - 1) - 1 > p > k -1, where
2 _< k _< m - 1). Such specific information can be useful when we
modify parts of the model in order to achieve compatibility. In partic-
ular, the conditional compatibility at the j = 1 level (see Table 1) can
and should be checked first, since such a check does not require explicit
calculation of the 79 mapping and if the conditional compatibility is vi-
olated (e.g., if some of fi2's are determined to be improper) then our
check is completed. (For the normal example, such a check immedi-
ately declares that if any Pi 7~ Pj, or if the common p2 _> 1, then the
Statistical Inference and Monte Carlo Algorithms 317

conditional distributions given in (15) are incompatible.) As a necessary

check (i.e., a screening check), this can be considerably simpler than the
check using (6)-(7), which operates on the entire joint space. In some
cases, it might even be possible to continue this check for conditional
compatibility for a few more levels (e.g., j = 2 or 3) if we can arrange
the variables x a , . . . , Xm such that the first few Dj mappings are analyti-
cally feasible. It is also not entirely inconceivable that we can check the
integrability of ratios of 79j's without explicitly calculating Dj.
Of course, ideally we would like to have a recursive de-conditioning
scheme, similar to Table 1, using mappings that do not involve integra-
tion. For example, it would be ideal if we could use the mapping defined
by the following conditional version of (3):

p(Xl [ Xt2,X-A)
p(Xl I X-A) C<
p(x~2 l x l , X _ z ) ' (19)
for any A ~ {1, 2} and any fixed x~ E ~2.

Although (19) is true, it does not yield a correct de-conditioning process

when used recursively in a fashion similar to (10) because the normal-
izing constant in (19) depends on A. I suspect that it is impossible to
perform the type of recursive de-conditioning depicted in Table 1 with-
out invoking integration (i.e., marginalization). However, it might be
possible to construct a recursive checking scheme that is more effec-
tive than the check based on (6)-(7), which is essentially a brute-force
method and can be rather complicated (see, e.g., Hobert and Casella's
(1996) proof of the quoted Theorem 1). I know Professor Casella enjoys
working on challenging theoretical constructions, so I'd like to conclude
my discussion by inviting him to a fishing trip for an effective recursive
checking scheme. I cannot promise we will get anything, but the excite-
ment of fishing (my favorite sport) is not knowing what you will get or
when you will get it - - there is always a bigger one out there, the one
that snapped my line before I could see it!
Acknowledgments. I thank K. Ng for an informative presentation, and
A. Gelman, C. Liu, W. Rosenberger, and A. Zaslavsky for comments.
The research was supported in part by NSA Grant MDA 904-96-1-0007
and NSF Grant DMS-9626691. This manuscript was prepared using
computer facilities supported in part by several NSF grants awarded to
318 George Casella

the Department of Statistics at The University of Chicago, and by The

University of Chicago Block Fund.
A. PHILIPPE (Universitd de Rouen, France)
I first want to congratulate Professor Casella on such a coverage
of the multiple facets of the relationship between statistical theory and
computational algorithms. I want to take advantage of this tribune to
point out links between the Monte Carlo method with numerical methods
used to approximate integrals. The standard Monte Carlo estimator is the
empirical average. The convergence of this type of estimator is ensured
by the Law of Large Numbers or the ergodic theorem. In this paper
Professor Casella looks at the amount of statistical theory in the Monte
Carlo method. The outputs of the Monte Carlo algorithm are considered
as statistical data and therefore we can apply frequentist principles to
improve upon the standard approach. An alternative to this approach is
to consider the output as a set of points on which we can apply numerical
quadrature. In particular, when we generate a sample from a density f,
we can use it to build a Riemann sum, i.e. the trapezoidal approximation
of the integral.
This method has been introduced by Yakowitz et aI (1978) in the par-
ticular case of the uniform distribution, i.e. for functions with compact
support. They show that the estimator thus produced improves (in terms
of convergence rate) upon the empirical average as it reduces its variance.
The properties obtained for this particular density can be generalized for
arbitrary densities f (Philippe 1996). We discuss the different aspects
of using Riemann sums in the Monte Carlo method. In the case of the
Gibbs sampler, we show that we can produce an efficient estimator based
on the Rao-Blackwellisation method and Riemann sums.
1. Riemann sums and the Monte Carlo method. Consider the estimation
of the expectation IEY[h], where f is a density and h E /~1 (f) is a
continuous function. For a sample ( X l , . . . , xn) from f, we denote the
ordered sample by x(1 ) < ... < z(n ). The resulting estimator (called
Riemann's estimator) is given by
n-1
= - h I
i=1
The convergence properties of the Riemann estimator are given in the
following propositions.
 Statistical Inference and Monte Carlo Algorithms 319

Proposition 1.1. If h e E l ( f ) then

[ Zl :
Moreover if the function h is bounded on the support of f then the
convergence rate of the bias is O(n-1).

Proposition 1.2. If h C/:2(f) then

lim IF,
n- - - ~oo
[(6~-IE End])
6 =0.

Moreover if h and h I are bounded on the support of f then the

convergence rate of the variance is O(n-2).
These convergence properties clearly show the improvement brought
by this approach upon the standard Monte Carlo averaging approach.
Indeed, when the previous conditions on h are satisfied, the behavior of
the Riemann estimator is very satisfactory since it reduces the variance
by an order of magnitude, that is, from 1In to 1In 2. However, in many
statistical problems, the function h is not bounded. For example, a
classical problem, in Bayesian statistics, is the evaluation of the Bayes
estimator. Under the quadratic loss, this is the mean of the posterior
distribution, so h(x) = x which is unbounded for infinite support.
An additional appeal of our approach is that the importance sampling
method can improve upon the Riemann estimator, while keeping the
same convergence properties for bounded h's. This improved Riemann
estimator follows from the choice of an instrumental function 9 such that
the ratio h f / 9 and its derivative are bounded. It is produced through
IEf[h] = lEg[h f/g] and equals to
n-1

(Y(i+l) - Y(i)) h (Y(i)) f (Y(i))

i=1

where Y0) -< "'" -< Y(n) is an ordered sample of variables with density
9. Note that the density does not appear explicitly in the expression of
the estimator. A good choice of the instrumental function is a density
proportional to [h If. This choice is optimal in terms of reduction of the
:320 George Casella

variance when the support of the density is bounded. Furthermore it

gives an unbiased estimator when the function h is positive.
This choice is also optimal for the standard importance sampling
method (see Rubinstein 1981), although this result is formal. Indeed
the estimator depends on the ratio f / g ; therefore the unknown integral
of interest appears in the expression of the estimator. The Riemann
estimator based on the instrumental density proportional to IhLf is easy
to derive via an accept-reject algorithm. The only requirement is to find
9 such that the ratio I h l f / 9 is bounded.

Example 1. Consider the example of the gamma distribution intro-

duced by Professor Casella. The gamma distribution ~a(oL, 2o0 with
a = 2.434 is simulated from an accept-reject algorithm where the can-
didate distribution is the gamma distribution ~ a ( a , 2a) with a = 2.
We want to estimate the expectation IE f (z). With the same instrumen-
tal density Ga(a, 2a), we can also generate a sample from the density
proportional to h f . Table 1.1 illustrates the behavior of the different
Riemann estimators. We can appreciate the superior properties of the
Riemann estimator obtained with the sample simulated from the density
proportional to h f . Moreover, this estimator dominates the estimators
produced by the Rao-Blackwell strategy, since the percent improvement
in mean squared error (MSE) is superior for this Riemann estimator.

Table 1.1. Comparison of the mean squared errors for the estimation of
a gamma mean given by the empirical average, the Riemann estimators 6~
and <5~obtained respectively with the sample simulated from Ga(a, 2a) and
from the density proportional to h f, based on 7500 simulations.

AR 6E 61~ 6~ Pourcent
sample MSE MSE MSE Decrease
size (t) in MSE for ~5~
25 .0041 .0060 .0021 48.78
50 .0020 .0026 .0006 70.00
100 .0010 .0009 .0001 90.00
Statistical Inference and Monte Carlo Algorithms 321

Table 1.2. Comparison of the mean squared errors for the estimation of
a gamma mean given by the Riemann estimators recycling the N values
produced by the accept-reject algorithm, for the sample from Ga(a, 2a)
(61n) and for the sample from the density proportional to h f (52n), based on
7500 simulations.

AR 5~ 5-2
R
sample MSE MSE
size (t)

25 .0031 .002
50 .0012 .0002
100 . 0 0 0 4 .0001

For fixed t, the accept-reject algorithm generates ( Y l , 9 9 YN) from

the instrumental distribution and yields a sample (Xl,- 99 xt) of size t
from Ga(o~, 2o0. The number of values N is a random integer which
is distributed according to a geometric random variable. However, this
sample can be interpreted as a sample simulated from the instrumental
density Ca(a, 2a), and therefore we construct the Riemann estimator
from the sample ( Y l , ' - ' , YN) according to the importance sampling
approach. This method recycles all the random variables produced by
the accept-reject algorithm. We apply also this principle for the accept-
reject algorithm which produces a sample from the density proportional
to hr. Table 1.2 illustrates the behavior of the Riemann estimators.
When we recycle the rejected variables, the performances of the Riemann
estimators are superior since the mean squared errors is reduced.
2. The Rao-Blackwellisation method and the Riemann estimator.
An important problem with this form of estimators is that it requires
explicit densities. However, in many statistical problems this condition
is not satisfied (see for instance the Gibbs sampler) and (1.1) cannot be
used. The Gibbs sampler method can generate a sample from f when
the density is not directly available. It is indeed sufficient to know the
conditional distributions. An alternative is to consider a modified form
of the Riemann estimator by replacing the term which depends on f by
an approximation. Note that this integral can also be considered as a
322 George Casella

multiple integral. However, the generalization of the Riemann estimator

to larger dimensions is not efficient, as shown by Yakowitz et al. (1978).
The Rao-Blackwellisation method produces an estimator of the mar-
ginal density (see Gelfand and Smith, 1990). This estimator of the
density is given by
n

}(x) = n -1 ~ ~(x14,... ,4)- (2.1)

t=l

Note that, when we use the Gibbs sampler algorithm, this estimator is
available. Therefore, we can always get the following generalized form
of the Riemann estimator :
n
,qR/RB -1 ~"~((t+l)
vn = n s ~,Xl -- x(t))h(x
1 (t))
1 7r(x ) I~k2,"', x 9
t=l \k=l
(2.2)
The computational cost of this estimator is higher than for the standard
Riemann estimator but the efficiency is quite similar and it definitely
improves upon the empirical average. The performances are illustrated
in the case of the auto exponential model (Besag, 1974).
Example 2. Consider the density

f(Yl,Y2) o( exp(--yl -- Y2 -- YlY2).

The corresponding conditional distribution are given by

YlIY2 ~ gxp(1 + Y2),

Y21Yl ~ $xp(1 + Yl).
Since the marginal density is known up to a constant factor, i.e.

e-y1
f l ( Y l ) 0( - - ,
1 +Yl
we can compare the Riemann estimators (1.1) and (2.1) with the empiri-
cal average and the Rao-Blackwell estimator. By running a Monte-Carlo
experiment 200 times, we build equal tailed confidence regions Cn such
that, for fixed n,
P(e~n C C n ) = 1 - Ol.
Statistical Inference and Monte Carlo Algorithms 323

....................................................................... v-.-zSL_.~.:.~'~'_~-_ zZ_'-L."

~j

, j'; . . . . .
o 2tl 40 6o so loo

0
Figure 2.1. 95% confidence band for the estimation of]Ef (z) for the auto
exponential model: the emp(rical average (plain), the Riemann estimator
(1.1) (dots), the modified Riemann estimator (2.2) (dashes) and the Rao-
Blackwell estimator (long dashes). For n = 5,000, the confidence band are
[0.6627, 0.6932], [0.6761, 0.6806], [0.6738, 0.6825], and [0.6728, 0.6807]
respectively and the true value is 0.6768.

Figure 2.1 shows the behavior of the confidence band for o~ = 0.05. The
amplitude of the confidence band of the Riemann and Rao-Blackwell
estimators are quite similar. The three estimators improve upon the
empirical average.

JOSEPH L. SCHAFER ( The Pennsylvania State University, USA)

I would like to thank Dr. Casella for a thoughtful and well-written
paper. In this era of rapidly improving computer environments, many
are tempted to adopt an algorithmic approach to inference. Monte
Carlo (MC) methods--and Markov chain Monte Carlo (MCMC) in
particular--have become a popular paradigm for statistical problem solv-
ing, but the results of MC or MCMC runs are only as good as (a) the
underlying statistical model and (b) the manner in which the ouput stream
is collected and summarized. Improvements to (b) are certainly worth
considering; Casella and his colleagues have suggested some potentially
useful methods. With regard to (a), of course, we should not expect MC
to yield useful information if the underlying statistical model is nonsen-
sical.
324 George Casella

The methods of Sections 4-5 were motivated by principles of clas-

sical decision theory. A decision theoretic perspective can be helpful,
provided that we pay attention to the MC simulation's original purpose.
If the goal is to draw inferences about a parameter h(O) of the data model
for y, the Bayesian perspective suggests that we examine the posterior
mean, variance, quantiles, etc. of h(O). MC algorithms yield estimates of
these quantities which can, in principle, be made as accurate as desired
by lengthening the simulation run. Casella et al. focus on improving
the efficiency of these MC estimates. That goal, however, is one step
removed from the statistician's ultimate purpose. Any reasonable MC
estimator of E(h(O) [ y), even if it is not highly efficient, will be good
enough if its mean-squared error is small relative to V(h(O) [ y). Im-
proving the efficiency of MC estimators is not necessarily profitable if
it does not substantially improve the quality of the point and interval
estimates for h(O) itself.

A major theme of this paper is the interplay between the data model
and the MC simulation method. I prefer to view the MC simulation an
additional step of data collection, much like a second stage of sampling in
a multistage survey. Let S(ra) denote the output stream from a simulation
run of length m. If computational resources were unlimited, we could
generate S (~176and obtain inferences equivalent to those from the actual
posterior distribution P(h(O) [ y). In reality we can generate only S (~),
so the best inferences attainable will be those based on the reduced
information in the posterior P(h(O) [ S(m)). Perhaps we should focus
our efforts on approximating P(h(O) [ S(m)).

Rubin's (1987) rules for combining point and variance estimates

from a multiply-imputed dataset are based on this type of argument.
Multiple imputation (MI) assumes that we have m independent draws
of the missing data from their posterior predictive distribution given the
observed data. The MI point estimate is simply a Rao-Blackwellized
estimate of the posterior mean of h(O), and the MI interval is a credible
set based on an approximation to P(h(O) [ S (m)) where m may be very
small. Allowances for the smallness of m are thus a built-in feature of
the MI interval. Further discussion on the relationship between MI and
Rao-Blackwellization is given by Schafer (1996). It may be profitable
to consider how to approximate P(A(O) [ S(m)) for larger values of
Statistical Inference and Monte Carlo Algorithms 395

m, where S (m) represents possibly dependent draws of some type of

sufficient statistic arising from MCMC.

ROBERT L. STRAWDERMAN (University of Michigan, USA)

It is a pleasure to be asked to participate in this discussion of Pro-

fessor Casella's paper, which does an excellent job in describing the in-
terplay between Monte Carlo (MC) algorithms and statistical inference.
MC itself is an inherently frequentist idea, with "long-run average" con-
vergence properties being the primary justification behind its use in most
applications. I find it particularly interesting that the vast majority of
applications in which MC methods (particularly of the Markov chain va-
riety, or MCMC) have been put to use is in solving Bayesian problems.
Evidently, frequentist and Bayesian techniques complement each other
more than is often explicitly recognized.

A prominent underlying theme of this paper is that MC methods are

a very useful yet imperfect tool for statistical inference. Since MC meth-
ods have by definition a probabilistic basis, they can often be improved
through clever statistical thinking. "Rao-Blackwellization" is indeed
a clever method for optimizing an accept-reject (AR) algorithm; how-
ever, it is easy to see this procedure becomes impractical very quickly.
Termwise conditional expectation is shown to be quite useful, partic-
ularly in conjunction with rescaling. The estimator 5Tr (Eqn. 18) is
really an importance sampler in disguise; its rescaled pure importance
sampling competitor 5Isr (Eqn. 20) is obviously so. It is known (e.g.,
Hesterberg, 1991, 1993) that simply dividing by the sum of the weights,
while often effective, isn't necessarily an optimal procedure for improv-
ing importance-based sampling estimates. I wish to comment briefly
on this aspect in somewhat more detail, with the particular objective
of improving upon both 6rr and 5rSr through the use of control vari-
ares. Then, I'd like to propose one possible solution to the problem that
Professor Casella poses in Section 5.1.

Let Y [ N = n be a random variable having density re(y) (Eqn. 15).

Then, we may write -r = Ey[h(X)] = E N [ E Y I N [ h ( Y ) f ( Y ) / m ( Y ) ] ]
b y the usual importance sampling identity. Notice the similarity here
to the weights used in calculating 5TT, hence the importance sampling
326 George Casella

interpretation of @r- Setting d(Y) = h ( Y ) f (Y)/m(Y), then obviously

EN[EYIN[h(Y)f(Y)/m(Y)] ] = tEN[EYIN[C(Y)] ]
+ EN[EyIN[d(Y ) - tic(Y)]]
for any function c(Y) and some constant 8. This is the key identity behind
control variates in disguise; the optimal choice for t in terms of achieving
minimum variance is t -= cov(d(Y), c(Y))/var(c(Y)) (cf. Hesterberg,
1991). Ideally, the more correlated c(Y) and h ( Y ) f ( Y ) / m ( Y ) , the
larger the reduction in variance. This may be a difficult choice in practice;
thus, for convenience, consider setting c(Y) = d ( Y ) f ( Y ) / g ( Y ) =
h(y)f2(Y)/(m(Y)g(Y)); then, it is easy to see that #c = E[c(Y)] =
Eg[h(Z)f2(Z)/g2(Z)], where Z has density g(-).
Now, let ~ bethe slope of the regression of d(yi) = h(yi)f(yi)/
m(yi) on c(yi), i - 1 . . . n - 1 where (Yl,...,Yn-1) are the first n-1
accepted and rejected rv's. Although Yi and yj are correlated, each is an
observation having marginal density m(.). I propose

as a competitor to (~Tr and 6ISr, Where dn-1, en-1 respectively denote

the sample averages. Note that if y/, i = 1 . . . n - 1 were an iid sample,
then @v asymptotically achieves the minimum variance among linear
estimators of the form t # c + ( d n - 1 - fie-n-l). In practice, we may
replace #c by an initial MC estimate/2c, the latter usually being very
quick to obtain since g(-) (the AR density) is generally easy to sample
from. I reran a small portion of the simulation study done by Professor
Casella (with code written in S-Plus) to investigate whether this new
estimator provides any additional improvement. The results, represented
as a percentage decrease in MSE over 6AR , are summarized in Table 1.
The gains provided by 6cv are impressive here, and have been essen-
tially obtained via linear regression; there are few techniques which are
more statistical than that! An interesting question here is the asymptotic
relative efficiency of this procedure compared to full Rao-Blackwelliza-
tion.
Turning now to the question posed in Section 5.1, we wish to deter-
mine a* such that

_1 [~* ~m r ( O l Y , Ai)dO = ol
m a-~ i=1
Statistical Inference and Monte Carlo Algorithms 397

Table 1. Estimating E[h(X)] for X a Gamma random variable (E[X] =

1/2, 2500 simulated datasets via AR algorithm)

Acceptance Rate 0.9 Acceptance Rate 0.3

AR % Dec. % Dec. % Dec. % Dec. % Dec. % Dec.

Sample h(x) inMSE inMSE inMSE inMSE inMSE inMSE
Size 6TT 61Sr 6CV 6Tr 618r 6OV
10 x 16.3% 19.2% 93.1% 63.2% 63.3% 99.6%
25 x 19.3% 21.0% 94.8% 68.7% 68.7% 99.7%

10 x~ 16.9% 19.8% 55.2% 62.1% 62.2% 93.3%

25 x~ 26.3% 26.6% 75.2% 68.2% 68.2% 94.3%

based on the Gibbs sequence (01,)~1), (02,)t2), .... This problem can
be immediately generalized to finding a* such that fa~ 9m(8)d8 = c~,
where

gin(0) = 1 s r
i=l f(Oi'Ai)f(8'Ai)
for any proper conditional density r having the same support as
7r(OlY, )0 and f(O, X) cx 7r(8, ~), the latter being the joint posterior den-
sity of (0, A) given y. The function 9m(8) is the importance weighted
marginal density (IWMD) estimator of Chen (1994), and reduces to
m-1 ~iml 7f(81Y, I~i) for r ) = 7r(0iA ). The ensuing proposal there-
fore covers both possibilities. The density estimate gm (8) may not inte-
grate to 1 (cf. Chen, 1994, w it is useful to note here that the following
will only require gin(8) tO integrate to c for some c > 0, and thus no
numerical renormalization of 9m(8) is necessary.
Given a Gibbs sequence (81, "~1), (82,/~2), .. 9 (8m,"~m), we can
easily calculate the corresponding IWMD estimate. Suppose that m is
reasonably large and that ~r(8ly) ~ c-lgra(O) is unimodal with 0 =
398 George Casella

argmaxogm(O). Then, under some regularity conditions,

P{O > a} (I'(Ra) + Ra I --

(-k(2)(O))v2
k(l)(a )
}r
for k(O) = loggm(O), k(J)(o) = dk(o), and R a : sign(0)[2(k(0) -
k (a))] 1/2 (cf. DiCiccio and Martin, 1993, Eqn. 5). An exactly analogous
result obtains in any higher dimensional problem; that is, the formula is
exactly the same in the case where a marginal probability calculation is
desired for a single component of a vector-valued parameter.
Let H(a; ~) = P{O > a} - o~; note that H(a; c~) is monotone in
a. Replacing P{O > a} by the tail probability approximation above,
the resulting approximation is monotone in a away from the posterior
mean and the extreme tails. Hence, a bisection algorithm will quickly
solve H(a*; o~) = 0 for a*; the advantage of bisection over, say, New-
ton's method is that the former works without requiring derivatives. Use
of this tail probability approximation requires maximization and taking
derivatives of k (0) = log gm (0). This should not be of great concern, and
will typically not pose a problem in practice. For simplicity, suppose that
we have calculated { (ai, gm(ai)), / = 1 . . . b} on a reasonably fine grid
(al ... ab). Then, for example, to obtain an accurate estimate of 0 (the
marginal posterior mode), one can fit a quadratic regression to k(O) in a
neighborhood about the approximate mode (i.e.,, argmaxa i 9rn(ai)), and
then analytically calculate Oq (and also approximate k(Oq) and k (2) (bq))
using the estimated regression equation (cf. DiCiccio et al., 1996). Al-
ternatively, we can take 0 = argmaxa i 9rn (ai) and calculate all derivatives
numerically. Each keeps in the spirit of constructing the answer only
from the Gibbs sequence.
To illustrate this technique we reanalyzed data from Farewell and
Sprott (1988). A mixture model was proposed for analyzing count data;
the two-parameter (conditional) likelihood function is given there, as
are asymptotic confidence intervals based on the MLE's of the model
parameters. This particular example can also be found in Spiegelhalter
et al. (1996, BUGS Examples Manual, Volume II, pp. 11-12), where
Gibbs sampling is used to construct 95% posterior intervals for the model
parameters, both of which are probabilities (p and 0, say) and are assumed
independent. The intervals there are found by generating a Gibbs chain
Statistical Inference and Monte Carlo Algorithms 329

based on 11,000 iterations (the first 1000 of which are treated as "burn-
in"), and then marginal posterior intervals are respectively calculated via
the empirical cdf's of the 10,000 iterates of p and 0.
The full conditionals are not "nice" in this problem, and it is ad-
vantageous to use the IWMD estimator. Based on the Gibbs output, I
estimated the marginal densities of p and 0 as discussed above; qS(.1.)
was taken to be a Beta density with mean and variance matching the
empirical mean and variance of the parameter whose marginal density
was being computed. To calculate the posterior marginal HPD region
for 0, I generated the IWMD estimate for 0 on an equally-spaced grid of
points (mesh = 0.01). Tail probabilities at any given point (away from
the very extreme tail) were then calculated using the tail probability for-
mula above. This was accomplished by setting t) = argmaxai9m(ai)
and then computing k(~)) and k(J)([9),j = 1,2, the latter via stan,
dard formulas for numerical derivatives. Recalling that H ( a ; c~) ----
P{O > a} - o~, the equations defining the 95% marginal HPD limits are
H(Ou; 0.025) = 0 and H(OL; 0.975) = 0. As an approximation to Ou, I
used 0 u j = 0.5(al + a2)where al = argmaxa{H(a;O.025) > 0} and
a2 = argmina{H(a; 0.025) _< 0}; OL was determined similarly. The
results are summarized in Table 2.

Table 2. Comparison of Highest 95% MPD Regions for PVC data

from Farewell and Scott (1988) computed based on 10,000 Gibbs iterates

Parameter MLE BUGS Proposed method Exact]

0 (0.300, 0.810) (0.289, 0.823) (0.305,0.805) (0.3012,0.8037)

p (0.270, 0.520) (0.264, 0.514) (0.265,0.515) (0.2693,0.5151)

~ basedon renormalizedIWMDestimateusing32-pointGaussianquadrature

The DiCiccio and Martin formula performs extremely well here,

given that it is based completely on numerical approximations. For com-
parison, the quadratic regression method (based on a symmetric window
of 10 points containing argmaxai9 m (ai)) mentioned earlier yields iden-
tical answers to the precision reported here.
330 George Casella

REPLY TO THE DISCUSSION

First of all, I want to thank the organizers of the meeting, Professors
Jos6 Bernardo and Elias Moreno for providing such a lively forum for
the exchange of many stimulating ideas. Then I want to thank all of the
discussants, who have raised so many interesting points and concerns
that I could keep myself and my students busy for many years trying to
answer them. For now, I will only try to provide a few thoughts. Since
we are all working under time constraints, many of my comments will
not be as complete as I would like them to be, but I still hope they will
add something. (Indeed, I wish that I had more time to fully digest all
of the extremely interesting points raised by the discussants, many with
which I wholeheartedly agree.)
It seems to be most logical to arrange my responses by subject rather
than people, and I will start with the one that, perhaps evoked the most
comments.

1. The Bayes/Frequentist Synthesis

It is gratifying that most people agree that, as statisticians, our main con-
cern should be to solve problems as best as we can, and use whatever tools
are available. Such are the sentiments of Professors Berger, Gustafson
and Wasserman, Ferr~ndiz, Pefia, and Strawderman, with Berger raising
a particularly interesting point. My Examples 1 and 2 indeed show how
the tools of one approach can help the other approach. The question of
the inference, to me, is a somewhat different one in that the appropriate
inference is a decision of the experimenter. Although I believe that, in
many cases, the frequentist inference is the appropriate one, there are sit-
uations where a Bayesian inference is more appropriate. Again, even in
the question of inference, there is no (or, at least, little) need to argue. In
consultation with the statistician, the experimenter should decide on the
appropriate inference, and the statistician should help the experimenter
make that inference in the best way possible.
The point is that we shouldn't have Bayesian and frequentist statis-
ticians, we should have Bayesian and frequentist inference, to be appro-
priately used and recommended by all statisticians.
Statistical Inference and Monte Carlo Algorithms 331

2. Computational Algorithms
At the very least, I am heartened that some of this work has resulted in
people being sensitized (but not in the sense of Professor Meng) to the
impact of the algorithm on the inference. The concerns of Professor Pefia
are well founded, and the guidelines of Professor Rios Insua are quite
important. As Professor Schafer points out, focusing on the algorithm
may be one step removed from our ultimate purpose, but it is an important
step. As we will see in Section 4.2, problems can appear even with
seemingly reasonable MC estimators. But even more importantly, I
believe that we are all beginning to approach theoretical problems in
a new way, always thinking of the computations, and being concerned
more with algorithms than theorems. Such an approach can only enhance
our thinking and broaden our influence.

3. Posterior Distributions
The power variance priors of model (4) are mainly chosen because (i)
experimenters tend to believe that improper priors reflect impartiality and
(ii) they result in easy to simulate conditionals. As Professor Pefia notes,
the Jeffreys priors considered by Ibrahim and Laud (1991) indeed give
proper posterior distributions, as will Professor Bernardo's reference
priors, as they both control the tail at zero. Any reanalysis with these
priors will result in coherent inferences, the only drawback being that
the conditional distributions are not as easy to sample from. However,
the inferences are definitely superior.
The popularity of the power prior is an example of the algorithm
overshadowing the statistics. Experimenters were so keen to make the
Gibbs sampler work that they forgot to check the fundamentals of the
model. Moreover, choosing a = b = 0 in (4), which usually is justified
through an invariance argument, is extremely unfortunate as, for exam-
ple, a = b = 1/2 would yield easily obtained conditionals and proper
posterior distributions.
Many discussants had extremely interesting comments and concerns
about this topic. I can loosely group those concerns in the following
subsections.
3.1. Incompatibility. The property of compatibility of densities has
received a lot of comment, and I am heartened that the discussants feel
that this property is as important as Jim Hobert and I do. I should first
332 George Casella

mention that, in response to Professors Garcfa-L6pez and Gonzfilez, the

results of Theorem 2 hold for the Data Augmentation Algorithm, which
can be considered bivariate (but possibly vector valued) Gibbs sampling.
Professor Meng's discovery of his equation (1) is very interesting.
It is one of those neat facts that, in hindsight, are totally obvious but, in
foresight, are maddeningly difficult to see. I am not aware of the history
of the representation, but had seen it presented as a special case of the
Hammersley-Clifford Theorem by Robert (1996, Section 5.1.4, Lemma
5.3). It is a wonderful learning equation.
Professor Liu's comments on incompatible densities are also very
interesting, and I would like to discuss how they fit in with Theorem 2. In
Liu's notation, f l and f2 are proper densities which are not functionally
compatible, but Tx(x,x') = f fl(xly)f2(ylx')dy and its counterpart
Ty define positive recurrent transition functions. In some sense this is
"almost as good" as being compatible, as there will exist limiting prob-
ability distributions. Thus, although the inference is more complicated,
there is a legitimate inference to be recovered here.
The key fact that gets these limiting distributions is that Tx and Ty
define positive recurrent Markov chains. But what happens in the func-
tionally compatible (but not compatible ) case? In this case, again using
Liu's notation, the marginal distributions 71-1and 7r2 will not be proper.
This follows because, for example, f 71"1 (y)dy = f f 7r1(x, y)dxdy and,
by Theorem 2, this latter integral must be co, or else the densities would
be compatible. Thus, the situation illustrated by Professor Lib cannot
occur in the functionally compatible, but not compatible, case. As an
example, consider the exponential densities of Example 3, which are not
compatible. There we have

= f Ye-xYx'e-yX'dy- (x +x, '

and the invariant distribution is 7rl(X) = l/x, which is easily verified

to be the solution to ~-l(X) = f Tx(X,X')Trl(x')dx', and is not a proper
distribution.
Perhaps Professor Lib has uncovered a property more fundamental
than compatibility. Compatibility will insure the existence of one lim-
iting probability distribution, but if Tz and Ty define positive recurrent
Markov chains there will be a collection of limiting probability distri-
butions. In some cases, this may be enough to recover a reasonable
Statistical Inference and Monte Carlo Algorithms 333

statistical inference. Which leads us to subchains and submodels and

the discussions of Professors George and Berger.
3.2. Inferences from an Improper Posterior. The arguments of Professor
George are not compelling, because in every case the full Gibbs chain
clearly contains extraneous pieces. To put it more formally, suppose that
we are interested in inference about the parameter fl, and have a model
that results in the full, improper posterior 7r(a, fl[y), where a is another
parameter of the model, considered as a nuisance parameter when the
inference is about/3. Inferences about/3 would be based on the marginal
posterior 7r(/3[y), which should satisfy

7r(/3[y ) = / 7r(a,/31y)da.
If so, then it is impossible for 7r(/31y) to be proper, as

f ~r(/3,y)d/3=f Tr(a,/3,y)dad/3=cc.
Thus there is no meaningful inference about the parameter/3 that can be
recovered from the full model. (I also suspect that any inference about
/3 in this model would be incoherent in the sense of Heath and Sudderth
1989).
So what about the experience of Berger, and the examples of George?
These are instances in which there is reason to abandon the full model.
That is, the transformations of George, and the "identifiability" of B erger
are procedures for changing the model. In my illustration above, the
parameter a would be somehow eliminated, and only/3 would be con-
sidered, with a proper 7r(/3ly ). So my point is that if a model results
in an improper full posterior, there is no lower dimensional inference
based on the full model that can make sense. However, there may be a
lower dimensional model that makes sense. I have no problem with this
solution, but realize that the model is being changed in a fundamental
way; we are not recovering anything from the improper posterior distri-
bution. The interesting procedure discussed by Meng, that of recursive
deconditioning seems to be an excellent candidate for searching for such
lower dimensional models
3.3. Fixing Impropriety. If the posterior distribution is improper, an
obvious fix is to replace it with a sufficiently "vague" proper prior that
334 George Casella

is close to it. This is the spirit of Berger's suggestion to constrain cr > 0

in Example 4. As the values of cr do not spend too much time near the
singularity at zero (as noted at the end of Example 4), the constrained
prior might be a reasonable approximation here. However, such a fix may
not always work. Natarajan and McCulloch (1996) investigate the effects
of replacing improper priors with vague, proper priors and find that there
is no happy medium between "proper but diffuse" and "improper". In
particular, in situations where the posterior does not exist, the Gibbs
sampler can break down before the prior becomes diffuse enough to yield
estimates that are reasonable approximations to the MLE. But I guess
that my sentiments on this problem are most in line with Gustafson and
Wasserman, when they state that to use a proper vague prior is "..simply
to approximate an ill defined solution".
The behavior of this Gibbs chain also answers the comment of Rios
Insua, who expected more mass near zero. Such behavior was not ex-
hibited by the chain, even with many restarts and many long runs (which
should have eliminated any problems due to sample size or starting points
- a concern of Garcia-L6pez and Gonzalez). This also illustrates, once
again, the (apparent) futility of trying to have the Gibbs output check
itself for propriety.

4. Rao-Blackwellization
The technique of Rao-Blackwellization has expanded beyond the origi-
nal idea of conditioning on a sufficient statistic. Indeed, in my thinking,
it has expanded to encompass a class of techniques that aim at improv-
ing estimators by taking advantage of the structure of the problem in
whatever manner is available.
I don't believe that we have returned to the status quo, as stated by
Berger. Even in situations where we end up with the same procedures,
we also end up learning a lot (the gains of Rao-Blackwellization can
be huge, and easy to obtain) and have not always returned to the status
quo (the full Rao-Blackwellized estimator is still the only one to achieve
substantial gains while retaining unbiasedness.) Although Femindiz
rightly points out that the Rao-Blackwellization in the paper only applies
to algorithms with ancillary random variables, the general approach goes
far beyond this case. Perhaps the most important contribution is that we
have stimulated thinking to search for better ways to process the output,
Statistical Inference and Monte CarloAlgorithms 335

searches that have resulted in procedures such as those put forth by

Professors Phillipe and Strawderman which, in our expanded definition,
are again some sort of Rao-Blackwellization.
Rao-Blackwellization is a type of smoothing, and the advantages
of such smoothing are well documented. I was particularly interested
in the interpretations of Professor Dawid that cast new light on impor-
tance sampling, accept-reject, and weighted averages. Dawid's discus-
sion clearly shows the drawback of the naive accept-reject average, and
the advantage of the "Rao-Blackwellization" brought on by importance
sampling.
Before replying to some of the other comments on Rao-Blackwell-
ization, I would like to elaborate on a small point that has intrigued me
for a while. Although it is clear that importance sampling is a desir-
able technique when compared to accept-reject or Metropolis-Hastings
averages, its usefulness in the Gibbs sampler is not at all clear. For
a bivariate Gibbs sampler (X1, ]I1), (X2, ]I2), "" ", (Xm, Ym), where
we generate Xi ,.o f(xlYi) and Y/+I ~ f(ytXi), a Gibbs estimate
1 m
~G = N }--~i=1 h(Xi) has an importance sampling counterpart

1~ f(Xi) h(Xi)
(~IS = -'~ i=1 f(XilYi)
(ignoring the possibility that the marginal f(x) may not be computable).
An interesting fact is that

E [ f~)f(Xi) h(Xi) Xi] = h(Xi),

so, here, the naive Gibbs average is the "Rao-Blackwellization" of the
importance sampling estimate. However, dominance does not follow
immediately, as there are covariances to contend with. But, I can show
that for m = 2, var(Sa) < vat(Sis). Thus, this may be saying that
the Gibbs sampler is already "smooth enough", and there is no room for
further smoothing.
4.1. TermwiseRao-Blackwellization. First a short comment on the
discussions of Liu and Dawid about termwise conditioning, and the
importance of the stopping rule-it cannot be ignored. The stopping rule
brings us the fact that the accept-reject estimator (10) is both unbiased and
336 George Casella

"correct for constants". This is perhaps more clear when the estimator
is written in the form (9), which can only be done with the knowledge of
the value of t, that is, with knowledge of the stopping rule. The estimator
6is of Liu's discussion, that is,
n
1
~Is = n
(m)
/=I

cannot be directly related to either (9) or (10). It is a Rao-Blackwelliza-

tion of
60 = - I[Ui < w(yi)]h(yi)
n
i=1
under independent sampling and

v&r((~0) : v&r[E((~olY1,""", Yn)]-1- E [ v a r ( 6 o l Y 1 , . - . Yn)]

n
-- + E[var(5olY1,-..
i=1
= var[61s] + E[var(6olY1,..- Yn)]
_> var[5is].
But this does not prove dominance of (R1) over 5AR of (10) and, in-
deed, this is not the case as bAR will dominate for constant functions as
indicated by Table 2. So, in fact, without correcting for constants, or
taking into account the stopping rule, neither 5Is nor 50 are particularly
attractive estimators.
Professors Liu and Dawid also make similar points about the desir-
ability of using weights based on marginal chains, where possible. The
marginalization seems to smooth things out, and make it sometimes pos-
sible to achieve variance reduction. However, there are some unforeseen
pitfalls here-a built in computational difficulty in the marginalization.
There is a need for trade-off in that the original algorithms will often
replace an analytic calculation with computer time and random variable
generation, and the marginalization may require a difficult analytic cal-
culation, a point noted by Liu. For example, the proposal of Dawid,
which seems to carry along with it some excellent variance reduction
potential, also carries along a large computational burden. The follow-
ing simple example was pointed out by Christian Robert, where we take
Statistical Inference and Monte Carlo Algorithms 337

7v(y) ~: e x p ( - y 2 / 2 ) , q(y[x) c< exp(-[x 2 + y2]/2) and the result-

ing c~(x, y ) = min{u(y)q(xly)/Tr(x)q(y[x), 1}, the usual Metropolis-
Hastings choice. We then get a fl(x) of the form
e(x) = (Ixl- x) - x)
exp(x2/4)
+ {1 - x)] + + x)]}
making for a difficult simulation algorithm. Perhaps this problem should
be approached using decision theory, where we balance ease of compu-
tation with variance reduction through a loss function.
4.2. Subtleties. Next, I would like to elaborate on the point made by
Gustafson and Wasserman about the failure of the average of conditional
densities (ACD) to accurately estimate the marginal. At first, their ex-
ample was bewildering to me, and there seemed to be no reason for such
behavior. To better understand the "paradox" I reduced it to bare essen-
tials, and learned the following. The failure of the ACD estimate has
nothing to do with Gibbs sampling, impropriety, or Markov chains. It is,
in fact, a failure to satisfy the assumptions of the Lebesgue Dominated
Convergence Theorem!
Consider that in their example all of the relevant distributions are
proper, and the Ergodic Theorem applies. Thus, if we obtain the random
variables ul, u 2 , . . . , we must have for each t

%21~,y(tlu(i), y) --+ %21~,u(tlu, y)m(uly)du, (R2)

i=1
where m(uly ) is the proper marginal distribution of u. So (R2) holds
for each t in the Gustafson/Wasserman example. It seems that there is a
real mystery as to why the convergence fails at 0. But a little reflection
brings an interesting realization. Write

7r(01y ) = lim 7rG21y(tly) = lim J["

t--~O t~O %21~,u(tlu,y)m(uly)du.
At t = 0, indeed for any t = to, the Monte Carlo sum converges to
m

1 > .%el~,y(tolu(i),y) ~ f %zl~,v(tolu, y)m(uly)d u

- - d
m i=1

= J/lira
t-~t 0
%21~,y(tlu, y)m(ulu)du.
338 George Casella

Thus, when we construct a Monte Carlo sum such as in (R2), we are

implicitly interchanging the order of limit and integration ! It is straight-
forward to check that Dominated Convergence will hold here for every
to > 0, but fails at to = 0. This example illustrates that things can go
wrong even when all distributions are proper.

4.3. Other Estimates. Comparing the performance of Rao-Blackwelli-

zation to a weighted bootstrap, or double bootstrap, as suggested by
Garcia-L6pez and Gonz~ilez, would be an interesting endeavor. As these
procedures are related to importance sampling, we would expect reason-
able performance and perhaps easy implementation. I hope to look into
this in the future.
There were other very interesting competitors to the Rao-Blackwell
improvement suggested by other discussants. First, I would like to
further explore the control-variate estimator proposed by Strawderman,
and try to understand why it does so incredibly well. The simple answer
seems to be that it is based on a much bigger sample size. But the more
interesting answer is that it takes even better advantage of the algorithmic
construction.
I think of control variates as finding the appropriate unbiased es-
timator of zero. To improve on an estimator 50(x) by the method of
control variates, we find another estimator u(x), with known mean/z,
and construct 61(x) =- 60(x) + b[u(x) - #] for some constant b. Then
50 and 61 have the same expected value, and var(61) -- "car(60) +
var(u) + 2cov(60, u). If we choose b to have the optimal value b =
-cov(60, u), then we achieve the maximal variance reduction var(51) =
(1 - p2)var(60), where p is the correlation between 60 and u. Straw-
derman has given us a methodology for implementing such a control
variate scheme in any importance sampler. And why does it do so much
better? The answer lies in his calculation of/2c. In a control variate
scheme, this is a known parameter, and Strawderman estimates it by
taking a very large sample from 9. So, in effect, his estimator is based
on a much larger sample size than 6Tr or 6ISr. Is this an unfair com-
parison? You bet it is! Is this an unfair estimator. No! In fact, it shows
us another clever way of recycling the rejected random variables! This
control variate scheme deserves further investigation. I would be very
interested in seeing how it compares to 6Tr or 6ISr when we keep the
number of generated random variables the same for each estimator.
Statistical Inference and Monte Carlo Algorithms 339

The discussion of Professor Phillipe is literally brimming with inge-

nious ideas that not only yield new (and seemingly excellent) estimators,
but also illustrates the benefits of intertwining algorithmic and statisti-
cal thinking. Her Riemann sum estimator (1) appears to be a serious
competitor to all of the other estimators developed in these pages, but I
think the most interesting developments are in her subsequent estimator,
where the instrumental density 9 is chosen to satisfy the boundedness
requirements of her Propositions 1 and 2. What a terrific blending of
algorithms and theory ! The use of the Gibbs average as a substitute for
the marginal also has nice potential, although one must be on guard for
difficulties such as those illustrated in Section 4.2.

5. Other Concerns

5.1. Multiple Paths. The question of multiple path Gibbs sampling was
raised by both Bernardo and Garcfa-Ldpez and Gonzfilez, although in
different contexts. Firstly, the number of paths used in the Gibbs sampler
will not have any impact on propriety or compatibility, as these are
properties of the underlying model, and the manner in which we observe
the model cannot have any bearing. The question of how multiple paths
can affect the variance of our estimate is also an interesting one, and
prompted me to write the following.

Suppose that we have data Y, and want to calculate an estimate 5(Y)

of 7- = E[5(Y)]. Using a Monte Carlo algorithm to calculate 5(Y) ,
we obtain an output string from the algorithm, a sample T of length k,
and calulate ~Sk(Y) as our approximation of 5(Y). Note that we could
refer to 6(Y) as 6oo(Y), the value of the estimate based on an infinite
sample from our algorithm, that is, a sample Too of infinite length. We
then also have that E[Sk(Y)[Too] = 5(Y). Now suppose that we run the
algorithm many times ( for example, a multiple path Gibbs sampler), and
let T1,. 9 9 Tm be m independent output strings from the algorithm, each
of size k. For each Ti calculate the valjues 5~i) and take as our estimate
~k -- ml ~im__l 5~i). The following variance analysis, which may be
similar in spirit to those discussed by Schafer, should apply whether we
are considering Bayesian or frequentist measures.
340 George Casella

The variance of 5k is given by

var[6k(Y)] = var(E[Sk(Z)lT~]) + E[var(Sk(Y)lT~)]

1 2 (R3)
= var[5(Y)] + mE[~-~]

where -r~ = var(b~ i) tTi), the variance that is only due to the algorithm,
and is not due to the model. Now we can see the effect of multiple paths
(m) and increasing the length of the chain (k). As k -* co, -r~ -+ 0,
so increasing the length of the chain will reduce the variation due to the
algorithm and also diminish the effect of Rao-Blackwellization (but, as
we saw in Section 5.2, not erase it). However, increasing m, the number
of paths, has no direct effect on z~, but still will reduce var(5). But
this latter situation is less desirable, as we should strive to eliminate
the variation due solely to the algorithm (which is under our control).
Thus, this naive analysis seems to show that there is less to be gained
in variance reduction, whether the criterion is Bayesian or frequentist,
from running multiple chains.
Equation (R3) may also answer the concern of Rfos-Insua that our
stream of "endless data" eliminates the role of Bayesian statistics. In-
deed, a more careful analysis of (R3), and the effects of changing k and
m would almost certainly need some form of prior input to help balance
the effects of the model and the algorithm.
5.2. Accurate Approximations. Professor Strawderman reminds me of
one of my own lessons, that of not forgetting that we are statisticians with
a large box of tools. He brings the methods of higher-order asymptotics
to bear on the Gibbs sampler, showing that the DiCiccio/Martin tail prob-
ability approximation results in an extremely accurate approximation to
the desired posterior probability in Section 5.1. Bravo. Professors Di-
Ciccio and Wells also note the place for higher-order asymptotics, and
make an interesting point about recovering a frequentist inference in the
face of the Bayesian "catastrophe". Of course, whether the posterior
distribution is proper has no bearing on the frequentist inference, which
can always be made. However, under such catastrophic priors, such as
a = b = 1, the Gibbs sampler cannot be used to produce reasonable fre-
quentist inferences. Indeed, conjecturing based on the results of Nataran
and McCulloch (1996), such catastrophic priors could leave us quite far
from reasonable frequentist inference.
 Statistical Inference and Monte Carlo Algorithms 341

Also, as noted by DiCiccio and Wells, there is much interest now

in "probability matching", or finding prior distributions (such as Welch-
Peers) that result in posterior probabilities that match frequentist prob-
abilities. Although such priors are necessarily improper, they also nec-
essarily must result in proper posterior distributions, hence avoiding the
impropriety problems. This suggests that probability matching could be
a reasonable basis for choosing a default prior and should be acceptable
to an experimenter as an "impartial" choice. Moreover, I think there is
still room for Rao-Blackwellization for, at the very least, it will serve to
minimize the error due solely to the Monte Carlo algorithm.
5.3. Decision Theory. It is quite gratifying that the mixing of Decision
Theory with algorithmic performance is viewed favorably by many of the
discussants. The sentiments of Femindiz perhaps most closely reflect
my own, in that I am hopeful for many benefits from embedding the
algorithm in the appropriate decision problem.
The research here is still in the beginning stages, so although we have
interesting possibilities, there are still few definite recommendations. I
have no answer for Berger on the performance of the optimal minimax
scan, but it seems that the calculations of Professors DiCiccio and Wells
hold promise that we are looking at a good criterion. They have provided
more convincing evidence that the risk function does a more complete
job in capturing the essentials of the Markov chain.

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