matbuoro committed Mar 07, 2017 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 ``````============================= DIAGNOSTICS ============================= --------------------------- Heidelberger and Welch's convergence diagnostic heidel.diag is a run length control diagnostic based on a criterion of relative accuracy for the estimate of the mean. The default setting corresponds to a relative accuracy of two significant digits. heidel.diag also implements a convergence diagnostic, and removes up to half the chain in order to ensure that the means are estimated from a chain that has converged. Stationarity start p-value test iteration shape_lambda passed 1 0.976 rate_lambda passed 1 0.952 lambda_tot0 passed 1 0.624 Halfwidth Mean Halfwidth test shape_lambda passed 3.604 0.051319 rate_lambda passed 0.024 0.000343 lambda_tot0 passed 167.980 1.800868 --------------------------- Geweke's convergence diagnostic Geweke (1992) proposed a convergence diagnostic for Markov chains based on a test for equality of the means of the first and last part of a Markov chain (by default the first 10% and the last 50%). If the samples are drawn from the stationary distribution of the chain, the two means are equal and Geweke's statistic has an asymptotically standard normal distribution. The test statistic is a standard Z-score: the difference between the two sample means divided by its estimated standard error. The standard error is estimated from the spectral density at zero and so takes into account any autocorrelation. The Z-score is calculated under the assumption that the two parts of the chain are asymptotically independent, which requires that the sum of frac1 and frac2 be strictly less than 1. Fraction in 1st window = 0.1 Fraction in 2nd window = 0.5 shape_lambda rate_lambda lambda_tot0 0.1124 -0.2537 1.4104 --------------------------- Raftery and Lewis's diagnostic Quantile (q) = 0.025 Accuracy (r) = +/- 0.005 Probability (s) = 0.95 Burn-in Total Lower bound Dependence (M) (N) (Nmin) factor (I) shape_lambda 20 26665 3746 7.12 rate_lambda 20 24844 3746 6.63 lambda_tot0 12 16041 3746 4.28 ``````