MCMC收敛判据：Gelman-Rubin检验和自相关时间

MCMC收敛判据：Gelman-Rubin检验和自相关时间

Gelman-Rubin 检验

The Gelman Rubin Statistic compares the mean of medians vs the median of means of the chains. It is essentially a measure of how similar the chains are and asymptotically approaches 1 as they become identical. The more similar they are, the more likely they each represent the true, underlying posterior. All parameters must each have a Gelman Rubin statistic less than MAXGR (default is 1.01) to be considered “well-mixed” or “converged”.

Tz检验

Tz is the number of independent draws. Since adjacent links in the MCMC chains are highly correlated,