stableGR: A Stable Gelman-Rubin Diagnostic for Markov Chain Monte Carlo

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) <arXiv:1812:09384>.

Version:	1.2
Depends:	R (≥ 3.5), mcmcse (≥ 1.4-1)
Imports:	mvtnorm
Published:	2022-10-07
DOI:	10.32614/CRAN.package.stableGR
Author:	Christina Knudson [aut, cre], Dootika Vats [aut]
Maintainer:	Christina Knudson <drchristinaknudson at gmail.com>
License:	GPL-3
NeedsCompilation:	no
CRAN checks:	stableGR results

Documentation:

Reference manual:

stableGR.pdf

Downloads:

Package source:	stableGR_1.2.tar.gz
Windows binaries:	r-devel: stableGR_1.2.zip, r-release: stableGR_1.2.zip, r-oldrel: stableGR_1.2.zip
macOS binaries:	r-release (arm64): stableGR_1.2.tgz, r-oldrel (arm64): stableGR_1.2.tgz, r-release (x86_64): stableGR_1.2.tgz, r-oldrel (x86_64): stableGR_1.2.tgz
Old sources:	stableGR archive

Reverse dependencies:

Reverse imports:

qbld

Linking:

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