R/Gelfand.Diagnostic.R

In LaplacesDemon: Complete Environment for Bayesian Inference

###########################################################################
# Gelfand.Diagnostic                                                      #
#                                                                         #
# The Gelfand.Diagnostic function is an interpretation of Gelfand's       #
# ``thick felt-tip pen'' MCMC convergence diagnostic (Gelfand et al.,     #
# 1990).                                                                  #
###########################################################################

Gelfand.Diagnostic <- function(x, k=3, pen=FALSE)
     {
     ### Initial Checks
     if(missing(x)) stop("The x argument is required.")
     if(!is.vector(x)) x <- as.vector(x)
     if(k < 2) k <- 2
     if(k > length(x)/2) k <- round(length(x)/2)
     if({length(x)/k} < 2) stop("k is too large relative to length(x).")
     ### KDE
     quantiles <- seq(from=0, to=1, by=1/k)
     breaks <- round(as.vector(quantiles)*length(x))
     breaks <- breaks[-1]
     d.temp <- density(x)
     d <- array(c(d.temp$x, d.temp$y), dim=c(length(d.temp$x), 2,
          length(breaks)))
     d.temp <- density(x[1:breaks[1]])
     d[,,1] <- c(d.temp$x, d.temp$y)
     for (i in 2:length(breaks)) {
          d.temp <- density(x[1:breaks[i]])
          d[,,i] <- c(d.temp$x, d.temp$y)}
     ### Plots
     ymax <- max(d[,2,])
     col.list <- c("red", "green", "blue", "yellow", "purple", "orange",
          "brown", "gray", "burlywood", "aquamarine")
     col.list <- rep(col.list, len=length(breaks))
     rgb.temp <- as.vector(col2rgb(col.list[1]))
     mycol <- rgb(red=rgb.temp[1], green=rgb.temp[2], blue=rgb.temp[3],
          alpha=50, maxColorValue=255)
     plot(d[,1,1], d[,2,1], type="l", col=mycol, xlim=c(range(d[,1,])),
          ylim=c(0,ymax), main="Gelfand Diagnostic",
          xlab=deparse(substitute(x)), ylab="Density")
     polygon(x=d[,1,1], y=d[,2,1], col=mycol, border=NULL)
     for (i in 2:length(breaks)) {
          rgb.temp <- as.vector(col2rgb(col.list[i]))
          mycol <- rgb(red=rgb.temp[1], green=rgb.temp[2],
               blue=rgb.temp[3], alpha=50, maxColorValue=255)
          lines(d[,1,i], d[,2,i], col=mycol)
          polygon(x=d[,1,i], y=d[,2,i], col=mycol, border=mycol)
          lines(d[,1,i], d[,2,i], lty=i)}
     if(pen == TRUE) abline(v=mean(range(d[,1,])), col="black", lwd=10)
     legend(quantile(d[,1,], probs=0.025), round(ymax*0.9,2),
          legend=paste("1:",breaks,sep=""), lty=1:k, title="Samples")
     return(invisible(x))
     }

#End