Metadata language
Convergence diagnosisto stationary distribution in MCMC methods via atoms and renewal sets
Subtitle:Raport Badawczy = Research Report ; RB/69/2008
Creator: Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:205-230 stron ; 21 cm ; Bibliografia s. 0-229
Abstract:MCMC setups are one of the best known methods for conducting computer simulations useful in such areas as statistics, physics, biology, etc. However, to obtain appropriate solutions, the additional convergence diagnosis must be applied for Markov Chain trajectory generated by the algorithm. 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. In this paper we focus on finding the moment when the simulated chain is close enough to the stationary distribution of the Markov chain. The discussed method has some appealing properties, like high degree of diagnosis automation. Apart from theoretical lemmas and a more heuristic approach, the examples of application are also provided.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: Rights:Licencja Creative Commons Uznanie autorstwa 4.0
Terms of use:Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -
Digitizing institution:Instytut Badań Systemowych Polskiej Akademii Nauk
Original in:Biblioteka Instytutu Badań Systemowych PAN
Projects co-financed by: Access: