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Markov-normal analysis of iterative simulations before their convergence.

Iterative simulation techniques are becoming standard tools in Bayesian statistics, a no-table example being the Gibbs sampler, whose draws form a Markov chain. Standard practice is to run the simulation until convergence is approached in the sense of the draws appearing to be stationary. At this...

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Published in:Journal of Econometrics Vol. 75; pp. 69 - 79
Main Authors: Liu, Chuanhai, Rubin, Donald B.
Format: Article
Published: Elsevier Science November 1996
Subjects:
Markov processes
Maximum likelihood statistics
Distribution (Probability theory)
Bayesian analysis
Online Access:View this record in EBSCOhost