QUT ePrints

Phase randomisation: a convergence diagnostic test for MCMC

Nur, Darfiana, Mengersen, Kerrie L., & Wolff, Rodney C. (2005) Phase randomisation: a convergence diagnostic test for MCMC. Australian and New Zealand Journal of Statistics, 47(3), pp. 309-323.

View at publisher

Abstract

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 method in the context of MCMC, summarise its characteristics, and contrast its performance with those of the more common diagnostic tests for MCMC. It is observed that the new tool contributes information about third and higher order cumulant behaviour which is important in characterising certain forms of nonlinearity and nonstationarity.

Impact and interest:

0 citations in Scopus
Search Google Scholar™
0 citations in Web of Science®

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

336 since deposited on 05 Jan 2007
24 in the past twelve months

Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 5932
Item Type: Journal Article
Keywords: Convergence diagnostics, higher cumulants, Markov Chain Monte Carlo, non, linear time series, stationarity, surrogate series
DOI: 10.1111/j.1467-842X.2005.00396.x
ISSN: 1369-1473
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2005 Blackwell Publishing
Copyright Statement: The definitive version is available at www.blackwell-synergy.com
Deposited On: 05 Jan 2007
Last Modified: 29 Feb 2012 23:17

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page