InstabilityTest: Project Home – R-Forge

Project description

The program is designed to statistically check the Markov chain for nonstationarity. It is based on the method of estimating the Lyapunov function from the chain of trajectories of the Markov chain, obtained in the course of simulation. The method can be used to implement a random search in space of the investigated parameter of the circuit with elements of simulated annealing. The conclusion about nonstationarity is made by comparing with the upper quantile of a random variable stochastically majorizing the chain increment.

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Registered: 2021-09-08 13:51
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