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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/32079
- Assessment of MCMC convergence: a time series dynamical systems approach
Wolff, R. C.;
Mengersen, K. L.
- Important in the application of Markov chain Monte Carlo (MCMC) methods is the determination that a search run has converged. Given that such searches typically take place in high-dimensional spaces, there are many pitfalls and difficulties in making such assessments. We discuss the use of phase randomisation as tool in the MCMC context, provide some details of its distributional properties for time series which enable its use as a convergence diagnostic, and contrast its performance with a selection of other widely used diagnostics. Some comments on analytical results, obtained via Edgeworth expansion, are also made.
- 11th IEEE Signal Processing Workshop on Statistical Signal Processing, 2001. Proceedings of the 11th IEEE Signal Processing Workshop on Statistical Signal Processing : 6th-8th August 2001, Singapore (Singapore 6th-8th August 2001) p. 46-49
- Publisher Link
- Institute of Electrical and Electronics Engineers (IEEE)
Markov chain Monte Carlo (MCMC);
- Resource Type
- conference paper
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