Phase Randomization: A Convergence Diagnostic Test for MCMC
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Description
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 | ||
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| Item Type: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
| ORCID iD: |
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| Measurements or Duration: | 15 pages | ||
| Keywords: | Convergance Diagnostics, Higher Cumulants, Markov Chain Monte Carlo, Nonlinear Time Series, Stationarity, Surrogate Series | ||
| DOI: | 10.1111/j.1467-842X.2005.00396.x | ||
| ISSN: | 1369-1473 | ||
| Pure ID: | 34302570 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Past > QUT Faculties & Divisions > Faculty of Science and Technology Past > QUT Faculties & Divisions > Science & Engineering Faculty Current > Schools > School of Economics & Finance Current > Research Centres > Australian Research Centre for Aerospace Automation |
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| Copyright Owner: | Consult author(s) regarding copyright matters | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 05 Jan 2007 00:00 | ||
| Last Modified: | 03 Mar 2024 06:47 |
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