Title
stable GR: A stable Gelman-Rubin diagnostic for Markov chain Monte Carlo (R software package)
Department/School
Mathematics
Date
6-1-2018
Document Type
Article
Abstract
Practitioners of Bayesian statistics often use Markov chain Monte Carlo (MCMC) samplers to sample from a posterior distribution. This package determines whether the MCMC sample is large enough to yield reliable estimates of the target distribution. In particular, this calculates a Gelman-Rubin convergence diagnostic using stable and consistent estimators of Monte Carlo variance. Additionally, this uses the connection between an MCMC sample's effective sample size and the Gelman-Rubin diagnostic to produce a threshold for terminating MCMC simulation. Finally, this informs the user whether enough samples have been collected and (if necessary) estimates the number of samples needed for a desired level of accuracy. The theory underlying these methods can be found in "Revisiting the Gelman-Rubin Diagnostic" by Vats and Knudson (2018). (v. 1.0).
Citation/Other Information
Knudson, C. (2018). stable GR: A stable Gelman-Rubin diagnostic for Markov chain Monte Carlo (R software package). https://cran.r-project.org/package=stableGR.