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Cutoff time based on generalized divergence measure

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  • Diédhiou, Alassane
  • Ngom, Papa

Abstract

The cutoff phenomenon in the simulated methods has been widely investigated in recent years. An important question is to detect the stopping time after which one can obtain the convergence to equilibrium of an interesting Markov chain. We propose in this paper, a method for evaluating the cutoff instant using appropriate stopping times such as those found in [Lachaud, B. 2005. Cutoff and hitting times for a sample of Ornstein-Uhlenbeck processes and its everage, J. Appl. Probab. 42 (4), 1069-1080]. We give the conditions under which a Markov process has a cutoff time, in the sense of the generalized divergence measure. For illustration, we evaluate the effectiveness of our method on the Ornstein-Uhlenbeck process.

Suggested Citation

  • Diédhiou, Alassane & Ngom, Papa, 2009. "Cutoff time based on generalized divergence measure," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1343-1350, May.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:10:p:1343-1350
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    References listed on IDEAS

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    1. Barrera, Javiera & Lachaud, Béatrice & Ycart, Bernard, 2006. "Cut-off for n-tuples of exponentially converging processes," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1433-1446, October.
    2. Domingo Morales & Leandro Pardo, 2000. "New smooth test statistics of goodness-of-fit for categorized composite null hypotheses," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(1), pages 173-190, June.
    3. Salicru, M. & Morales, D. & Menendez, M. L. & Pardo, L., 1994. "On the Applications of Divergence Type Measures in Testing Statistical Hypotheses," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 372-391, November.
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