Actuarial Notes

CAS Exam MAS-II Fall 2018, Question 20

Study guide: Exam MAS-II

The trace plot for a Bayesian MCMC chain is provided below.

Determine which of the following best describes any problem with the chain and the action that should be taken.

  • A) There is a low level of auto-correlation; the mean of the likelihood distribution should be changed.
  • B) There is a low level of auto-correlation; many more iterations are needed to make inferences from the samples of the posterior.
  • C) There is a high level of auto-correlation; the variance of the prior distribution should be reduced.
  • D) There is a high level of auto-correlation; many more iterations are needed to make inferences from the samples of the posterior.
  • E) There are no issues with this chain.

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