Kolmogorov–Smirnov, Fluctuation, and ZgTests for Convergence of Markov Chain Monte Carlo Draws
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Publication:5451149
DOI10.1080/03610910701792513zbMath1132.62029MaRDI QIDQ5451149
Hiroki Tsurumi, Elena Goldman, Elmira Valiyeva
Publication date: 18 March 2008
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910701792513
Kolmogorov-Smirnov test; fluctuation test; federal funds rates; Geweke's test; Markov chain Monte Carlo draws
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C40: Numerical analysis or methods applied to Markov chains
62F05: Asymptotic properties of parametric tests
Cites Work
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- On the Kolmogorov-Smirnov Limit Theorems for Empirical Distributions
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