[R] CODA vs. BOA discrepancy

[gc4@duke.edu]

Dear List:

the CODA and BOA packages for the analysis of MCMC output yield different
results on two dignostic test of convergence: 1) Geweke's convergence
diagnostic; 2) Heidelberger and Welch's convergence diagnostic. Does that
imply that the CODA and BOA packages implement different ``flavors'' of
the same test?

I paste below an example.

Geweke's test
cbind(coda.gwk,boa.gwk)

      z-score p-value Z-Score p-value
b[1]    1.143   0.253   0.000   1.000
b[2]    0.470   0.638   0.056   0.956
b[3]   -1.037   0.300  -0.388   0.698
b[4]   -0.618   0.536  -0.085   0.933
tau    -0.206   0.837  -0.008   0.994
sigma   0.716   0.474   0.437   0.662

CODA -- Heidelberger and Welch

      Stationarity start     p-value
      test         iteration
b[1]  passed       1         0.2649
b[2]  passed       1         0.6709
b[3]  passed       1         0.6376
b[4]  passed       1         0.3673
tau   passed       1         0.1944
sigma passed       1         0.0725

      Halfwidth Mean    Halfwidth
      test
b[1]  passed    -39.800 0.303994
b[2]  passed      0.714 0.003505
b[3]  passed      1.297 0.010317
b[4]  passed     -0.153 0.004025
tau   passed      0.106 0.000918
sigma passed      3.193 0.014986

BOA -- Heidelberger and Welch

      Stationarity Test Keep Discard      C-von-M
b[1]             passed 5000       0 2.841419e-13
b[2]             passed 5000       0 1.512525e-03
b[3]             passed 5000       0 1.162634e-02
b[4]             passed 5000       0 2.589256e-03
tau              passed 5000       0 2.742828e-04
sigma            passed 5000       0 1.086017e-01

       Halfwidth Test        Mean    Halfwidth
b[1]           failed -39.8000008 2.569228e+04
b[2]           passed   0.7137679 2.777682e-02
b[3]           passed   1.2968816 2.812990e-02
b[4]           failed  -0.1527912 2.778146e-02
tau            failed   0.1063554 2.772179e-02
sigma          passed   3.1930083 2.872075e-02

Thank you very much!
giacomo