Description

Calculate the Gelman Rubin statistic

Usage

 ```1 2``` ```GelmanRubin(theta) GR(theta) ```

Arguments

 `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

Value

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}

References

Gelman, A. and Rubin, D.B. (1992) 'Inference from iterative simulations using multiple sequences with discussion.' Statistical Science 8, pp. 457-511

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13``` ```## 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) ```

Bolstad2 documentation built on May 29, 2017, 3:35 p.m.