boa.handw: Heidelberger and Welch Convergence Diagnostics
Description
Computes the Heidleberger and Welch convergence diagnostics for the
parameters in an MCMC sequence.
Usage
boa.handw(link, error, alpha)
Arguments
link
Matrix whose columns and rows contain the monitored parameters
and the MCMC iterations, respectively. The iteration numbers and parameter
names must be assigned to dimnames(link).
error
Accuracy of the posterior estimates for the parameters.
alpha
Alpha level for the confidence in the sample mean of the
retained iterations.
Value
A matrix whose columns and rows are the Heidleberger and Welch convergence
diagnostics (i.e. stationarity test, number of iterations to keep and to drop,
Cramer-von-Mises statistic, halfwidth test, mean, and halfwidth) and the
monitored parameters, respectively.
References
Heidelberger, P. and Welch, P. (1983). Simulation run length control
in the presence of an initial transient. Operations Research, 31, 1109-44.