[R] MCMCpack gelman.plot and gelman.diag
Kevin Quinn
quinn at stat.washington.edu
Fri Apr 18 22:30:17 CEST 2003
2 problems here--
1) you need to use different seeds in the three runs. you can do this by
specifying the seed argument in MCMCregress().
2) if you look at the C++ code the first full-conditional that is sampled
from is [\beta|\sigma^2, y]. Since you are using the same starting values
for \sigma^2 in all three runs (and the same seed) you are getting exactly
the same stream of draws in each run.
if you specify seed and sigma2.start differently for each run you should
be able to use the Gelman diagnostics.
KQ
On Fri, 18 Apr 2003 sung-youn.kim at stonybrook.edu wrote:
> Hi,
>
> A question. When I run gelman.diag and gelman.plot
> with mcmc lists obtained from MCMCregress, the results are following.
>
> > post.R <- MCMCregress(Size~Age+Status, data = data, burnin = 5000, mcmc = 100000,
> + thin = 10, verbose = FALSE, beta.start = NA, sigma2.start = NA,
> + b0 = 0, B0 = 0, nu = 0.001, delta = 0.001)
> > post1.R <- MCMCregress(Size~Age+Status, data = data, burnin = 5000, mcmc = 100000,
> + thin = 10, verbose = FALSE, beta.start = -3, sigma2.start = NA,
> + b0 = 0, B0 = 0, nu = 0.001, delta = 0.001)
> > post2.R <- MCMCregress(Size~Age+Status, data = data, burnin = 5000, mcmc = 100000,
> + thin = 10, verbose = FALSE, beta.start = 3, sigma2.start = NA,
> + b0 = 0, B0 = 0, nu = 0.001, delta = 0.001)
> > post.R.all <- mcmc.list(post.R, post1.R, post2.R)
> > gelman.diag(post.R.all, confidence = 0.95, transform=FALSE)
> Potential scale reduction factors:
>
> Point est. 97.5% quantile
> [1,] NaN NaN
> [2,] NaN NaN
> [3,] NaN NaN
> [4,] NaN NaN
>
> Multivariate psrf
>
> 1
> > gelman.plot(post.R.all, bin.width = 20, max.bins = 100, confidence = 0.95, transform = FALSE, auto.layout = TRUE, ask = FALSE)
>
> ******* Error: *******
> Cannot compute Gelman & Rubin's diagnostic for any chain
> segments for variables (Intercept) Age Status sigma2
> This indicates convergence failure
>
>
> Should I have run them with more chains? Any hint?
>
> thanks in advance,
>
> --
> Sung-youn Kim
> --------------
> Dept. of Political Science
> Stony Brook University (SUNY at Stony Brook)
> Office: (631)-632-7664
> Web: http://www.ic.sunysb.edu/www/stu/sungyoki
>
> ______________________________________________
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>
--------------------------------------------------------
Kevin Quinn
Assistant Professor
Department of Political Science and
Center for Statistics and the Social Sciences
Box 354320
Padelford Hall
University of Washington
Seattle, WA 98195-4320
Office: (206) 221-6981
Fax: (206) 221-6873
Email: quinn at stat.washington.edu
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