Phase randomisation: a convergence diagnostic test for MCMC

Rodney C Wolff, Darfiana Nur and Kerrie L Mengersen
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Kerrie L Mengersen: School of Economics and Finance, Queensland University of Technology

No 208e, School of Economics and Finance Discussion Papers and Working Papers Series from School of Economics and Finance, Queensland University of Technology

Abstract: Most MCMC users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. Potentially useful diagnostics may be borrowed from diverse areas such as time series. One such method is phase randomisation. The aim of this paper is to describe this method in the context of MCMC, summarise its characteristics, and contrast its performance with those of the more common diagnostic tests for MCMC. It is observed that the new tool contributes information about third and higher order cumulant behaviour which is important in characterising certain forms of nonlinearity and nonstationarity.

Keywords: Convergence diagnostics; higher cumulants; Markov Chain Monte Carlo; non-linear time series; stationarity; surrogate series (search for similar items in EconPapers)
Date: 2006-06-15
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