codadiags (version 1.0)

codadiags-package: Markov chain Monte Carlo burn-in based on "bridge" statistics.

Description

This package implements many burn-in procedures based on iterative transient statistic tests. The tests are calibrated on simple AR1 MCMC process, tuned on particle simulation Monte Carlo codes. It should be viewed as a non asymptotic declination of heidel.diag burnin from coda package.

Details

Package:

codadiags

Type:

Package

Version:

1.0

Date:

2013-09-17

License:

GPL-3

Depends:

coda

References

Y. Richet, PhD: "Suppression of the initial transient in Monte Carlo criticality simulations", University of St Etienne, France, 2009.

Examples

require(codadiags)
set.seed(123)
x = AR1()
print(bridgestat.diag(x))
y = add.transient(x)
print(bridgestat.diag(y,trunc=10))