Kolmogorov–Smirnov, Fluctuation, and ZgTests for Convergence of Markov Chain Monte Carlo Draws

DOI10.1080/03610910701792513zbMATH Open1132.62029OpenAlexW2053270949MaRDI QIDQ5451149FDOQ5451149

Authors: Elena Goldman, Elmira Valiyeva, Hiroki Tsurumi 

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

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zbMATH Keywords

Kolmogorov-Smirnov testfluctuation testfederal funds ratesGeweke's testMarkov chain Monte Carlo draws

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Numerical analysis or methods applied to Markov chains (65C40) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parameterization and Bayesian Modeling
• Simulation Run Length Control in the Presence of an Initial Transient
• Contemporary Bayesian Econometrics and Statistics
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• A new test for structural stability in the linear regression model
• On the Kolmogorov-Smirnov Limit Theorems for Empirical Distributions
• Justification and Extension of Doob's Heuristic Approach to the Kolmogorov- Smirnov Theorems

Cited In (2)

• Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: the case of asymmetric Laplace distribution
• Bayesian analysis of the censored regression model with an AEPD error term

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