Monte-Carlo
  • Introduction
  • AIS
  • Generate R.V.
    • Special Distribution
    • Copulas
    • Minimum of Two Exponential
  • Gibbs
    • Comparing two groups
    • Linear Regression
    • Simulation of Exp-Abs-xy
  • Markov Chain
  • MC Approximation
  • MC Integration
    • Rao-Blackwellization
  • MC Optimization
  • MCMC
    • MCMC diagnostics
  • Metropolis-Hastings
    • Metropolis
    • Independent MH
    • Random Walk MH
    • ARMS MH
  • PBMCMC
  • RJMCMC
  • Diagnosing Convergence
  • SMCTC
  • Tempering
    • Parallel Tempering
  • Misc
    • R vs. Julia
  • References
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On this page
  • Convergence Criteria
  • Monitoring Convergence to the Stationary Distribution
  • Graphical Methods
  • Nonparametric Tests of Stationary
  • Monitoring Convergence of Averages

Diagnosing Convergence

Convergence Criteria

  1. convergence to the stationary distribution

  2. convergence of averages

  3. convergence to iid sampling

Monitoring Convergence to the Stationary Distribution

Graphical Methods

TODO: Witch's Hat Distribution

Nonparametric Tests of Stationary

TODO: Nuclear pump failures

Monitoring Convergence of Averages

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Last updated 6 years ago