Estimate sthe Gelman-Rubin (rhat) convergence statistic for a single parameter across multiple chains. Basic method, assuming all chains are of equal length
gelman_rubin(par_matrix, chains, samples)
par_matrix | Matrix (interations x chains) |
---|---|
chains | number of chains |
samples | number of samples |
Gelman-Rubin statistic
Gelman, A., and D. B. Rubin. 1992. Inference from Iterative Simulation Using Multiple Sequences. Statistical Science 7: 457–511.
https://astrostatistics.psu.edu/RLectures/diagnosticsMCMC.pdf