Phase randomization: a convergence diagnostic test for MCMC

Title: Phase randomization: a convergence diagnostic test for MCMC
Creator: Nur, Darfiana; Mengersen, Kerrie Lee; Wolf, Rodney C
Relation: Australian & New Zealand Journal of Statistics Vol. 47, Issue 3, p. 309-323
Publisher Link: http://dx.doi.org/10.1111/j.1467-842X.2005.00396.x
Publisher: Blackwell Publishing Asia
Resource Type: journal article
Date: 2005
Description: Most Markov chain Monte Carlo (MCMC) users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. Potentially useful diagnostics can be borrowed from diverse areas such as time series. One such method is phase randomization. This paper describes this method in the context of MCMC, summarizes its characteristics, and contrasts 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 characterizing certain forms of nonlinearity and non-stationarity.
Subject: Markov chain Monte Carlo (MCMC); phase randomization; higher cumulants; convergence diagnostics; nonlinear time series; stationarity; surrogate series
Identifier: http://hdl.handle.net/1959.13/27472
Identifier: uon:1704
Identifier: ISSN:1369-1473
Language: eng
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