mcgibbsit
Mcgibbsit (Warnes and Raftery's 'MCGibbsit' MCMC Run Length and Convergence Diagnostic)
CRANmcgibbsitMaRDI QIDQ5981778FDOQ5981778
Warnes and Raftery's 'MCGibbsit' MCMC Run Length and Convergence Diagnostic
Last update: 25 September 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.1, 1.0.2, 1.0.3, 1.0.5, 1.0.6, 1.0.8, 1.0, 1.1.0, 1.2.2
Implementation of Warnes & Raftery's MCGibbsit run-length and convergence diagnostic for a set of (not-necessarily independent) Markov Chain Monte Carlo (MCMC) samplers. It combines the quantile estimate error-bounding approach of the Raftery and Lewis MCMC run length diagnostic 'gibbsit' with the between verses within chain approach of the Gelman and Rubin MCMC convergence diagnostic.
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