$\texttt{NFDiag}$: High-dimensional MCMC Convergence Diagnosis with Normalizing Flows
Accurately assessing the convergence of Monte Carlo Markov Chains is crucial for ensuring their validity in Bayesian inference problems. However, convergence assessment in high dimensions is known to be difficult, due to most convergence diagnostics becoming insensitive beyond a few dozen parameters. Conventional convergence statistics analyze marginal distributions which in high dimensions neglects increasing levels of information from the joint and conditional probability distributions. Thus we propose $\texttt{NFDiag}$, which taps into the information of the full multivariate joint posterior with a normalizing flow (NF). Our convergence diagnostic thereby also analyzes information from...
| Authors | Kutay Nazlı, Elena Sellentin |
|---|---|
| Primary category | stat.ML |
| Published | 12 October 2026 |
| Last updated at source | 12 October 2026 |
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