Interpret Bayesian Diagnostic Indices

Source: R/interpret_ess_rhat.R

Interpretation of Bayesian diagnostic indices, such as Effective Sample Size (ESS) and Rhat.

interpret_ess(ess, rules = "burkner2017")

interpret_rhat(rhat, rules = "vehtari2019")

Arguments

ess

Value or vector of Effective Sample Size (ESS) values.

rules

A character string (see Rules) or a custom set of rules().

rhat

Value or vector of Rhat values.

Rules

ESS

  • Bürkner, P. C. (2017) ("burkner2017"; default)

    • ESS < 1000 - Insufficient

    • ESS >= 1000 - Sufficient

Rhat

  • Vehtari et al. (2019) ("vehtari2019"; default)

    • Rhat < 1.01 - Converged

    • Rhat >= 1.01 - Failed

  • Gelman & Rubin (1992) ("gelman1992")

    • Rhat < 1.1 - Converged

    • Rhat >= 1.1 - Failed

References

  • Bürkner, P. C. (2017). brms: An R package for Bayesian multilevel models using Stan. Journal of Statistical Software, 80(1), 1-28.

  • Gelman, A., & Rubin, D. B. (1992). Inference from iterative simulation using multiple sequences. Statistical science, 7(4), 457-472.

  • Vehtari, A., Gelman, A., Simpson, D., Carpenter, B., & Bürkner, P. C. (2019). Rank-normalization, folding, and localization: An improved Rhat for assessing convergence of MCMC. arXiv preprint arXiv:1903.08008.

Examples

interpret_ess(1001)
#> [1] "sufficient"
#> (Rules: burkner2017)
interpret_ess(c(852, 1200))
#> [1] "insufficient" "sufficient"  
#> (Rules: burkner2017)

interpret_rhat(1.00)
#> [1] "converged"
#> (Rules: vehtari2019)
interpret_rhat(c(1.5, 0.9))
#> [1] "failed"    "converged"
#> (Rules: vehtari2019)