A flexible distribution family for testing MCMC implementations

Tamás K. Papp
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Tamás K. Papp: Institute for Advanced Studies, Vienna

No 60, IHS Working Paper Series from Institute for Advanced Studies

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

Pages: 10 pages
Date: 2025-08
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https://irihs.ihs.ac.at/id/eprint/7280 First version, 2025 (application/pdf)

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