Output assessment for Monte Carlo simulations via the score statistic

Yanan Fan, Steve Brooks, and I wrote a paper on using the score statistic to assess convergence of simulation output, which will appear in Journal of Computational and Graphical Statistics. The idea of the paper is to make use of certain identies involving the derivative of the logarithm of the target density. The paper introduces two convergence diagnostics. The first method uses the identity that the expected value of this derivative should be zero (if one is indeed drawing from the target distribution). The second method compares marginal densities estimated empirically from simulation draws to those estimated using path sampling. For both methods, multiple chains can be used to assess convergence using these methods, as we illustrate using some examples.