GelmanRubin | R Documentation |
Calculate the Gelman Rubin statistic
GelmanRubin(theta)
theta |
A matrix containing samples from at least two chains on a parameter theta. Each chain should 2n iterations. The last n iterations will be used to calculate the statistic |
A list containing n, the between chain variance B, the within chain variance W, the estimated variance of the parameter vHat, and the Gelman Rubin statistic R = √{vHat/W}
Gelman, A. and Rubin, D.B. (1992) 'Inference from iterative simulations using multiple sequences with discussion.' Statistical Science 8, pp. 457-511
## take four chains sampling from a normal mixture density theta0 = c(0,1) theta1 = c(3,2) p = 0.6 candidate = c(0, 3) v1 = normMixMH(theta0, theta1, p, candidate, steps = 200) v2 = normMixMH(theta0, theta1, p, candidate, steps = 200) v3 = normMixMH(theta0, theta1, p, candidate, steps = 200) v4 = normMixMH(theta0, theta1, p, candidate, steps = 200) theta=cbind(v1,v2,v3,v4) GelmanRubin(theta)
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