psrf: Calculates the potential scale reduction factor.
In EDISON: Network Reconstruction and Changepoint Detection

Description Usage Arguments Value Author(s) References See Also Examples

This function calculates the potential scale reduction factor of parameters or hyperparameters over several MCMC simulations (or one simulation split up). This can serve as a convergence diagnostic.

1	psrf(parameters)

parameters

A list of MCMC trajectories, where each trajectory is a matrix with NumParams rows and NumIterations columns, where NumParams is the number of parameters and NumIterations is the number of samples.

A vectors of length NumParams, containing the PSRF values for each parameter.

Sophie Lebre

Frank Dondelinger

Gelman and Rubin (1992) Inference from iterative simulation using multiple sequences, Statistical Science.

psrf_check, psrf_check_hyper

# Generate 5 'runs' of random samples from Gaussian N(0,1)
samples = list()

for(run in 1:5) {
  samples[[run]] = matrix(rnorm(1000), 1, 1000)
}

# Check potential scale reduction factor
# (Will be very close to 1 due to the samples being from 
# the same distribution)
psrf.val = psrf(samples)


# Now use slightly different Gaussian distributions for each 'run'.
for(run in 1:5) {
  mean = runif(1, 0, 2)
  samples[[run]] = matrix(rnorm(1000, mean, 1), 1, 1000)
}

# Check potential scale reduction factor
# (Should be > 1.1)
psrf.val = psrf(samples)