Contents
What is Rhat in JAGS?
bayesian bugs stan. In convergence diagnosis in WinBUGS/JAGS/Stan, there are different statistics reported for each variable. In WinBUGS/Stan, Rhat (ˆR) is reported. In JAGS with the runjags package, psrf (Potential Scale Reduction Factor) is reported (it is basically generated by coda::gelman. diag() ).
What is Gelman Rubin?
The Gelman–Rubin convergence diagnostic The Gelman–Rubin diagnostic evaluates MCMC convergence by analyzing the difference between multiple Markov chains. The convergence is assessed by comparing the estimated between-chains and within-chain variances for each model parameter.
What is N_eff in Stan?
Before we go on, we should check again the Rhat values, the effective sample size ( n_eff ), and the traceplots of our model parameters to make sure the model has converged and is reliable. n_eff is a crude measure of the effective sample size.
What is a Jags model?
1. What is JAGS? JAGS stands for “Just Another Gibbs Sampler” and is a tool for analysis of Bayesian. hierarchical models using Markov Chain Monte Carlo (MCMC) simulation.
What is a trace plot?
A trace plot shows the history of a parameter value across iterations of the chain. Here we have iterations across the x-axis. It shows you precisely where the chain has been exploring.
What are Stan models?
Stan is a state-of-the-art platform for statistical modeling and high-performance statistical computation. Thousands of users rely on Stan for statistical modeling, data analysis, and prediction in the social, biological, and physical sciences, engineering, and business.
Which is an example of a psrf value?
PSRF is an estimate of how much narrower the posterior might become with an infinite number of iterations. When PSRF = 1.1, for example, it may be interpreted as a potential reduction of 10% in posterior interval width, given infinite iterations.
When is the Rhat function larger than 1?
The Rhat function produces R-hat convergence diagnostic, which compares the between- and within-chain estimates for model parameters and other univariate quantities of interest. If chains have not mixed well (ie, the between- and within-chain estimates don’t agree), R-hat is larger than 1.
Which is the maximum of R-hat in Stan?
Stan reports R-hat which is the maximum of rank normalized split-R-hat and rank normalized folded-split-R-hat, which works for thick tailed distributions and is sensitive also to differences in scale. The ess_bulk function produces an estimated Bulk Effective Sample Size (bulk-ESS) using rank normalized draws.
What is the potential scale reduction factor ( psrf )?
The ‘potential scale reduction factor’ (PSRF) is an estimated factor by which the scale of the current distribution for the target distribution might be reduced if the simulations were continued for an infinite number of iterations. Each PSRF declines to 1 as the number of iterations approaches infinity.