Description Usage Arguments Details Value Author(s) See Also Examples
View source: R/is.stationary.R
This function returns TRUE
if the object is stationary
according to the Geweke.Diagnostic
function, and
FALSE
otherwise.
1 |
x |
This is a vector, matrix, or object of class
|
Stationarity, here, refers to the limiting distribution in a Markov chain. A series of samples from a Markov chain, in which each sample is the result of an iteration of a Markov chain Monte Carlo (MCMC) algorithm, is analyzed for stationarity, meaning whether or not the samples trend or its moments change across iterations. A stationary posterior distribution is an equilibrium distribution, and assessing stationarity is an important diagnostic toward inferring Markov chain convergence.
In the cases of a matrix or an object of class demonoid
, all
Markov chains (as column vectors) must be stationary for
is.stationary
to return TRUE
.
Alternative ways to assess stationarity of chains are to use the
BMK.Diagnostic
or Heidelberger.Diagnostic
functions.
is.stationary
returns a logical value indicating whether or not
the supplied object is stationary according to the
Geweke.Diagnostic
function.
Statisticat, LLC. software@bayesian-inference.com
BMK.Diagnostic
,
Geweke.Diagnostic
,
Heidelberger.Diagnostic
, and
LaplacesDemon
.
1 2 3 | library(LaplacesDemon)
is.stationary(rnorm(100))
is.stationary(matrix(rnorm(100),10,10))
|
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