Phase randomisation: numerical study of higher cumulants behaviour.

DOI10.1016/S0167-9473(01)00018-4MaRDI QIDQ5958634zbMATH OpenWikidataFDO

Authors D. Nur, R. C. Wolff, K. Mengersen

Publication date 3 March 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.qut.edu.au/9768/1/9768.pdf

zbMATH Keywords

Higher cumulantsMarkov Chain Monte CarloNonlinear time seriesStationaritySurrogate series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Review text

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 nonlinear 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.

Recommendations

• PHASE RANDOMIZATION: A CONVERGENCE DIAGNOSTIC TEST FOR MCMC
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• Constrained-realization Monte-Carlo method for hypothesis testing
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Cites work

• Constrained-realization Monte-Carlo method for hypothesis testing
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 1522711 (Why is no real title available?)
• scientific article; zbMATH DE number 970186 (Why is no real title available?)
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• PHASE RANDOMIZATION: A CONVERGENCE DIAGNOSTIC TEST FOR MCMC
• Properties of a fourier bootstrap method for time series
• Sampling-Based Approaches to Calculating Marginal Densities
• Testing for nonlinearity in time series: the method of surrogate data

Cited in

(2)

• The influence of the different distributed phase-randomized on the experimental data obtained in dynamic analysis.
• PHASE RANDOMIZATION: A CONVERGENCE DIAGNOSTIC TEST FOR MCMC

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