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

DOI10.1080/03610910701792513zbMath1132.62029OpenAlexW2053270949MaRDI QIDQ5451149

Elmira Valiyeva, Hiroki Tsurumi, Elena Goldman

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) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40) Asymptotic properties of parametric tests (62F05)

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Cites Work

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• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
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• Contemporary Bayesian Econometrics and Statistics
• Parameterization and Bayesian Modeling
• On the Kolmogorov-Smirnov Limit Theorems for Empirical Distributions
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Justification and Extension of Doob's Heuristic Approach to the Kolmogorov- Smirnov Theorems

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