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

DOI10.1080/03610910701792513MaRDI QIDQ5451149zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A new test for structural stability in the linear regression model
• Contemporary Bayesian Econometrics and Statistics
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Justification and Extension of Doob's Heuristic Approach to the Kolmogorov- Smirnov Theorems
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• On the Kolmogorov-Smirnov Limit Theorems for Empirical Distributions
• Parameterization and Bayesian Modeling
• Simulation Run Length Control in the Presence of an Initial Transient

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(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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