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  • Search: subject:"Convergence diagnostics"
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Year of publication
Subject
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Convergence diagnostics 1 Markov Chain Monte Carlo 1 higher cumulants 1 non-linear time series 1 stationarity 1 surrogate series 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Mengersen, Kerrie L 1 Nur, Darfiana 1 Wolff, Rodney C 1
Institution
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School of Economics and Finance, Business School 1
Published in...
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School of Economics and Finance Discussion Papers and Working Papers Series 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Phase randomisation: a convergence diagnostic test for MCMC
Wolff, Rodney C; Nur, Darfiana; Mengersen, Kerrie L - School of Economics and Finance, Business School - 2006
Most MCMC users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. Potentially useful diagnostics may be borrowed from diverse areas such as time series. One such method is phase randomisation. The aim of this paper is to describe this...
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