Metadata language
On some method for diagnosing convergence in MCMC setups via atoms and renewal sets
Subtitle:Raport Badawczy = Research Report ; RB/94/2007
Creator: Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:24 pages ; 21 cm ; Bibliography p. 22-24
Abstract:MCMC setups are among the best known methods for conducting computer simulations necessary in statistics, physics, biology, etc. However, to obtain appropriate solutions, additional convergence diagnosis must be applied for trajectory generated by Markov Chain. In the paper we present the method for dealing with this problem, based on features of so called ”secondary” chain (the chain with specially selected state space). The secondary chain is created from the initial chain by picking only some observations connected with atoms or renewal sets. The discussed method has some appealing properties, like high degree of diagnosis automation. Apart from theoretical lemmas, the example of application is also provided.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: Rights:Creative Commons Attribution BY 4.0 license
Terms of use:Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Digitizing institution:Systems Research Institute of the Polish Academy of Sciences
Original in:Library of Systems Research Institute PAS
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