A Pathological MCMC Algorithm and its Use as a Benchmark for Convergence Assessment Techniques

We present in this paper a particular Metropolis-type algorithm for the simulation of a beta (formula) variable whose convergence is extremely slow. The interest of this phenomenon is to provide a simple benchmark against which convergence control techniques can be tested. We illustrate this use for state-of-the-art common control methods, backing up our evaluation by additional illustrations for a more standard algorithm derived from the same principle

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Year of publication:	1998
Authors:	Robert, Christian P.
Publisher:	[S.l.] : SSRN
Subject:	Benchmarking \| Theorie \| Theory \| Algorithmus \| Algorithm
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Computational Statistics, Vol. 13, 1998 Volltext nicht verfügbar
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014052355