A pathological MCMC algorithm and its use as a benchmark for convergence assessment technique chains

MaRDI QIDQ1297845zbMATH OpenFDO

Authors V. Pereyra

Publication date 14 September 1999

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

beta distributionMonte Carlo simulationconvergence controlMarkov chain Monte Carlo (MCMC) algorithmsMetropolis-type algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Complexity and performance of numerical algorithms (65Y20) Continuous-time Markov processes on discrete state spaces (60J27) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
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• scientific article; zbMATH DE number 1522711

Cited in

(2)

• An automated stopping rule for MCMC convergence assessment
• Canonical Paths for MCMC: from Art to Science

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