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Implementation of improved Rhat for assessing convergence of MCMC #3269

Closed aleksgorica closed 2 months ago

aleksgorica commented 5 months ago

Summary:

There should be an implementation of a new Rhat diagnostic described in Vehtari

Description:

In file./src/stan/analyze/mcmc/compute_potential_scale_reduction.hppis implemented old split-rhat diagnostic also described in the article. We want to add the new version, also implemented in arviz.

Then also tests should be changed because of the new output.

Current Version:

v2.34.1