Rhat refers to
the potential scale reduction statistic
, also known as the Gelman-Rubin statistic. This statistic is (roughly) the ratio of the variance of a parameter when the data is pooled across all of the chains to the within-chain variance.
What is Rhat Stan?
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. … The ess_bulk function produces an estimated Bulk Effective Sample Size (bulk-ESS) using rank normalized draws.
What is r-hat Bayesian?
R-hat, or the potential scale reduction factor, is
a diagnostic that attempts to measure whether
or not an MCMC algorithm
1
has converged flag situations where the MCMC algorithm has failed converge.
What is Gelman Rubin 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. Large differences between these variances indicate nonconvergence.
What is a Traceplot?
One intuitive and easily implemented diagnostic tool is a traceplot which
plots the parameter value at time t against the iteration number
. If the model has converged, the traceplot will move around the mode of the distribution. … In WinBugs, you may setup traceplots to monitor parameters while the program runs.
How much does it cost to thin MCMC?
The parameter thin allows the user to specify if and how much the MCMC chains should be thinned out before storing them. By
default thin = 1 is used
, which corresponds to keeping all values. A value thin = 10 would result in keeping every 10th value and discarding all other values.
Does MCMC always converge?
Under certain conditions, MCMC algorithms will draw a sample from the target posterior distribution after it has converged to equilibrium. However, since in practice, any sample is finite,
there is no guarantee about whether its converged
, or is close enough to the posterior distribution.
What is a divergent transition?
Divergent transitions are
a signal that there is some sort of degeneracy
; along with high Rhat/low n_eff and “max treedepth exceeded” they are the basic tools for diagnosing problems with a model. Divergences almost always signal a problem and even a small number of divergences cannot be safely ignored.
How do you interpret an effective sample size?
The effective sample size (ESS) is an estimate of the sample size required to achieve the same level of precision if that sample was a simple random sample. Mathematically, it is defined as
n/D
, where n is the sample size and D is the design effect. It is used as a way of summarizing the amount of information in data.
What is convergence MCMC?
The basic idea of an MCMC algorithm is to create a Markov process that has a stationary distribution the same as a posterior distribution of interest. … Technically, convergence
occurs when the generated Markov chain converges in distribution to the posterior distribution of interest
.
What is the Gelman Rubin statistic?
The Gelman-Rubin statistic is
a ratio
, and hence unit free, making it a simple summary for any MCMC sampler. … The result is that the uncertainty of any parameter being estimated with a MCMC sampler will be greater than that estimated using MC standard errors.
What is potential scale reduction factor?
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.
What is burn in period in MCMC?
What is Burn-In? Burn-in is a colloquial term that describes
the practice of throwing away some iterations at the beginning of an MCMC run
.
What is Bayesian convergence?
The standard convergence theorems in Bayesian statistics show that the
posterior converges weakly to the true parameter
, defined operationally through the law-of-large numbers. It is less common to refer to a “true distribution” of the parameter, as something apart from the prior or posterior.
What does autocorrelation plot tell us?
An autocorrelation plot is designed to show
whether the elements of a time series are positively correlated, negatively correlated, or independent of each other
. (The prefix auto means “self”— autocorrelation specifically refers to correlation among the elements of a time series.)
What is autocorrelation MCMC?
There are two main MCMC sampling methods:
Gibbs sampling
and Metropolis-Hastings (MH) algorithm. Autocorrelation in the samples is affected by a lot of things. For example, when using MH algorithms, to some extent you can reduce or increase your autocorrelations by adjusting the step size of proposal distribution.
