Bayesian Analysis· 2020Q1
Rank-Normalization, Folding, and Localization: An Improved Rˆ for Assessing Convergence of MCMC (with Discussion)
- 1,539citations
- Q1SCImago
- 2020year
Short summary
A new rank-based diagnostic, Rˆ, is proposed to fix flaws in the traditional Gelman-Rubin Rˆ, accurately assessing Markov chain Monte Carlo (MCMC) convergence even with heavy tails or varying variances across chains.
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Statistics and ProbabilityMathematics