boa.handw {boa}

Heidelberger and Welch Convergence Diagnostics

Description

Computes the Heidleberger and Welch convergence diagnostics for the parameters in an MCMC sequence.

Usage

boa.handw(link, error, alpha)

Arguments

link

Matrix whose columns and rows contain the monitored parameters and the MCMC iterations, respectively. The iteration numbers and parameter names must be assigned to dimnames(link).

error

Accuracy of the posterior estimates for the parameters.

alpha

Alpha level for the confidence in the sample mean of the retained iterations.

Value

A matrix whose columns and rows are the Heidleberger and Welch convergence diagnostics (i.e. stationarity test, number of iterations to keep and to drop, Cramer-von-Mises statistic, halfwidth test, mean, and halfwidth) and the monitored parameters, respectively.

Author(s)

Brian J. Smith, Nicky Best, Kate Cowles

References

Heidelberger, P. and Welch, P. (1983). Simulation run length control in the presence of an initial transient. Operations Research, 31, 1109-44.

See Also

boa.print.handw