Markov chain Monte Carlo convergence diagnostics for Gumbel model
Markov chain Monte Carlo (MCMC) has been widely used in Bayesian analysis for the analysis of complex statistical models. However, there are some isues on determining the convergence of this technique. It is difficult to determine the length of draws to make sure that the sample values converge to t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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TextRoad Publication
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/54755/1/Markov%20chain%20Monte%20Carlo%20convergence%20diagnostics%20for%20Gumbel%20model%20.pdf |
| _version_ | 1796976138241703936 |
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| author | Mohd Amin, Nor Azrita Adam, Mohd. Bakri |
| author_facet | Mohd Amin, Nor Azrita Adam, Mohd. Bakri |
| author_sort | Mohd Amin, Nor Azrita |
| collection | UPM |
| description | Markov chain Monte Carlo (MCMC) has been widely used in Bayesian analysis for the analysis of complex statistical models. However, there are some isues on determining the convergence of this technique. It is difficult to determine the length of draws to make sure that the sample values converge to the stationary distribution and the number of n iterations should be discarded before the chain converge to the stationary distribution. Convergence diagnostics help to decide whether the chain converges during a particular sample run. Gelman and Rubin diagnostic is the most widely used method for convergence test. The MCMC technique, Metropolis-Hastings algorithm is used for posterior inferences of Gumbel distribution simulated data. |
| first_indexed | 2024-03-06T09:21:29Z |
| format | Article |
| id | upm.eprints-54755 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:21:29Z |
| publishDate | 2016 |
| publisher | TextRoad Publication |
| record_format | dspace |
| spelling | upm.eprints-547552018-04-23T04:15:03Z http://psasir.upm.edu.my/id/eprint/54755/ Markov chain Monte Carlo convergence diagnostics for Gumbel model Mohd Amin, Nor Azrita Adam, Mohd. Bakri Markov chain Monte Carlo (MCMC) has been widely used in Bayesian analysis for the analysis of complex statistical models. However, there are some isues on determining the convergence of this technique. It is difficult to determine the length of draws to make sure that the sample values converge to the stationary distribution and the number of n iterations should be discarded before the chain converge to the stationary distribution. Convergence diagnostics help to decide whether the chain converges during a particular sample run. Gelman and Rubin diagnostic is the most widely used method for convergence test. The MCMC technique, Metropolis-Hastings algorithm is used for posterior inferences of Gumbel distribution simulated data. TextRoad Publication 2016 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/54755/1/Markov%20chain%20Monte%20Carlo%20convergence%20diagnostics%20for%20Gumbel%20model%20.pdf Mohd Amin, Nor Azrita and Adam, Mohd. Bakri (2016) Markov chain Monte Carlo convergence diagnostics for Gumbel model. Journal of Applied Environmental and Biological Sciences, 6 (spec. 2). pp. 130-136. ISSN 2090-4274; ESSN: 2090-4215 https://www.textroad.com/JAEBS-Special%20Issue%20(2S),%202016.html |
| spellingShingle | Mohd Amin, Nor Azrita Adam, Mohd. Bakri Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title | Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title_full | Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title_fullStr | Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title_full_unstemmed | Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title_short | Markov chain Monte Carlo convergence diagnostics for Gumbel model |
| title_sort | markov chain monte carlo convergence diagnostics for gumbel model |
| url | http://psasir.upm.edu.my/id/eprint/54755/1/Markov%20chain%20Monte%20Carlo%20convergence%20diagnostics%20for%20Gumbel%20model%20.pdf |
| work_keys_str_mv | AT mohdaminnorazrita markovchainmontecarloconvergencediagnosticsforgumbelmodel AT adammohdbakri markovchainmontecarloconvergencediagnosticsforgumbelmodel |