GelmanRubin {Bolstad2} | R Documentation |
Calculate the Gelman Rubin statistic
Description
Calculate the Gelman Rubin statistic
Usage
GelmanRubin(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
References
Gelman, A. and Rubin, D.B. (1992) 'Inference from iterative simulations using multiple sequences with discussion.' Statistical Science 8, pp. 457-511
Examples
## 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)
[Package Bolstad2 version 1.0-29 Index]