ranked and split r-hat - Githubissues

flatironinstitute / bayes-kit

Bayesian inference and posterior analysis for Python

MIT License

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Open bob-carpenter opened 1 year ago

bob-carpenter commented 1 year ago

Add implementation of ranked R-hat as described in this paper:

Vehtari, A., Gelman, A., Simpson, D., Carpenter, B. and Bürkner, P.C., 2021. Rank-normalization, folding, and localization: An improved R ̂ for assessing convergence of MCMC (with discussion). Bayesian Analysis, 16(2), pp.667-718.