Subtitle:

Raport Badawczy = Research Report ; RB/69/2008

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Description:

205-230 stron ; 21 cm ; Bibliografia s. 0-229

Abstract:

MCMC setups are one of the best known methods for conducting computer simulations useful in such areas as statistics, physics, biology, etc. However, to obtain appropriate solutions, the additional convergence diagnosis must be applied for Markov Chain trajectory generated by the algorithm. We present the method for dealing with this problem based on features of so called “ secondary” chain ( the chain with specially selected state space). The secondary chain is created from the initial chain by picking only some observations connected with atoms or renewal sets. In this paper we focus on finding the moment when the simulated chain is close enough to the stationary distribution of the Markov chain. The discussed method has some appealing properties, like high degree of diagnosis automation. Apart from theoretical lemmas and a more heuristic approach, the examples of application are also provided.

Relation:

Raport Badawczy = Research Report

Detailed Resource Type:

Raport

Resource Identifier:

oai:rcin.org.pl:217400

Source:

RB-2008-69

Language:

eng

Language of abstract:

eng

Rights:

Licencja Creative Commons Uznanie autorstwa 4.0

Terms of use:

Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -

Digitizing institution:

Instytut Badań Systemowych Polskiej Akademii Nauk

Original in:

Biblioteka Instytutu Badań Systemowych PAN

Projects co-financed by:

Program Operacyjny Polska Cyfrowa, lata 2014-2020, Działanie 2.3 : Cyfrowa dostępność i użyteczność sektora publicznego; środki z Europejskiego Funduszu Rozwoju Regionalnego oraz współfinansowania krajowego z budżetu państwa

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