UCL / rmcmc

Robust Markov chain Monte Carlo methods in R
http://github-pages.ucl.ac.uk/rmcmc/
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Support computing convergence diagnostics and summary statistics for sampled chains #7

Closed matt-graham closed 1 month ago

matt-graham commented 4 months ago

We should make it as easy as possible for user to compute common convergence diagnostics (for example estimated effective sample sizes, Gelman-Rubin $\hat{R}$ diagnostic, Monte Carlo standard errors) and summary statistics for sampled chains. Ideally this will just require either having the sampled chains data structure be such that it can directly used with one of the existing R packages for computing such diagnostics and summaries (see some suggestions below), or providing helper functions to allow massaging the output to the required format: