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.

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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.

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ID Code: 5932
Item Type: Journal Article
Refereed: Yes
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
Deposited On: 05 Jan 2007 00:00
Last Modified: 29 Feb 2012 13:17

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