Phase Randomisation: Numerical Study of Higher Cumulants Behaviour
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Description
For the purpose of testing for stationarity in a time series, a phase randomisation procedure is reviewed and modified, and applied to a wide range of time-series models. These include linear stationary, linear non-stationary, non-linear stationary and non-linear non-stationary processes. Surrogate series are simulated using Standard and Rescaling methods. For all processes, the higher-order central moments of the original series are preserved in the surrogate series using the Rescaling method whereas under the Standard approach only the even central moments are preserved. The density of higher order cumulant estimates obtained under the Rescaling method exhibits unimodality when the process is stationary and multimodality otherwise. The primary aim is to develop a suite of diagnostic tests in order to assess the convergence of Markov Chain Monte Carlo algorithms. Applications of the method as a convergence diagnostic test of Markov Chain Monte Carlo are also discussed.
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ID Code: | 9768 | ||
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Item Type: | Contribution to Journal (Journal Article) | ||
Refereed: | Yes | ||
ORCID iD: |
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Measurements or Duration: | 27 pages | ||
DOI: | 10.1016/S0167-9473(01)00018-4 | ||
ISSN: | 0167-9473 | ||
Pure ID: | 34019184 | ||
Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology Past > QUT Faculties & Divisions > Science & Engineering Faculty 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: | 26 Sep 2007 00:00 | ||
Last Modified: | 03 Mar 2024 06:09 |
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