Calculate the Gelman Rubin statistic

Description

Calculate the Gelman Rubin statistic

Usage

GelmanRubin(theta)
GR(theta)

Arguments

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 R = √{vHat/W}

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)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

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> library(Bolstad2)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/Bolstad2/GelmanRubin.Rd_%03d_medium.png", width=480, height=480)
> ### Name: GelmanRubin
> ### Title: Calculate the Gelman Rubin statistic
> ### Aliases: GelmanRubin GR
> 
> ### ** 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)
1.02057914682519 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>