R: Heidelberger and Welch's MCMC Convergence Diagnostic

Heidelberger.Diagnostic {LaplacesDemon} | R Documentation

## Heidelberger and Welch's MCMC Convergence Diagnostic

### Description

Heidelberger and Welch (1981; 1983) proposed a two-part MCMC convergence diagnostic that calculates a test statistic (based on the Cramer-von Mises test statistic) to accept or reject the null hypothesis that the Markov chain is from a stationary distribution.

### Usage

    Heidelberger.Diagnostic(x, eps=0.1, pvalue=0.05)

### Arguments

`x` | This required argument accepts an object of class `demonoid`. It attempts to use `Posterior2`, but when this is missing it uses `Posterior1`.
`eps` | This argument specifies the target value for the ratio of halfwidth to sample mean.
`pvalue` | This argument specifies the level of statistical significance.

### Details

The Heidelberg and Welch MCMC convergence diagnostic consists of two parts:

First Part 1. Generate a chain of N iterations and define an alpha level. 2. Calculate the test statistic on the whole chain. Accept or reject the null hypothesis that the chain is from a stationary distribution. 3. If the null hypothesis is rejected, then discard the first 10% of the chain. Calculate the test statistic and accept or reject the null hypothesis. 4. If the null hypothesis is rejected, then discard the next 10% and calculate the test statistic. 5. Repeat until the null hypothesis is accepted or 50% of the chain is discarded. If the test still rejects the null hypothesis, then the chain fails the test and needs to be run longer.

Second Part If the chain passes the first part of the diagnostic, then the part of the chain that was not discarded from the first part is used to test the second part.

The halfwidth test calculates half the width of the (1 - alpha)% probability interval (credible interval) around the mean.

If the ratio of the halfwidth and the mean is lower than `eps`, then the chain passes the halfwidth test. Otherwise, the chain fails the halfwidth test and must be updated for more iterations until sufficient accuracy is obtained. In order to avoid problems caused by sequential testing, the test should not be repeated too frequently. Heidelberger and Welch (1981) suggest increasing the run length by a factor I > 1.5, each time, so that estimate has the same, reasonably large, proportion of new data.

The Heidelberger and Welch MCMC convergence diagnostic conducts multiple hypothesis tests. The number of potentially wrong results increases with the number of non-independent hypothesis tests conducted.

The `Heidelberger.Diagnostic` is a univariate diagnostic that is usually applied to each marginal posterior distribution. A multivariate form is not included. By chance alone due to multiple independent tests, 5% of the marginal posterior distributions should appear non-stationary when stationarity exists. Assessing multivariate convergence is difficult.

### Value

The `Heidelberger.Diagnostic` function returns an object of class `heidelberger`. This object is a J x 6 matrix, and it is intended to be summarized with the `print.heidelberger` function. Nonetheless, this object of class `heidelberger` has J rows, each of which corresponds to a Markov chain. The column names are `stest`, `start`, `pvalue`, `htest`, `mean`, and `halfwidth`. The `stest` column indicates convergence with a one, and non-convergence with a zero, regarding the stationarity test. When non-convergence is indicated, the remaining columns have missing values. The `start` column indicates the starting iteration, and the `pvalue` column shows the p-value associated with the first test. The `htest` column indicates convergence for the halfwidth test. The `mean` and `halfwidth` columns report the mean and halfwidth.

### Note

The `Heidelberger.Diagnostic` function was adapted from the `heidel.diag` function in the coda package.

### References

Heidelberger, P. and Welch, P.D. (1981). "A Spectral Method for Confidence Interval Generation and Run Length Control in Simulations". Comm. ACM., 24, p. 233–245.

Heidelberger, P. and Welch, P.D. (1983). "Simulation Run Length Control in the Presence of an Initial Transient". Opns Res., 31, p. 1109–1144.

Schruben, L.W. (1982). "Detecting Initialization Bias in Simulation Experiments". Opns. Res., 30, p. 569–590.

### See Also

`burnin`, `is.stationary`, `LaplacesDemon`, and `print.heidelberger`.

### Examples

    #library(LaplacesDemon)
    ###After updating with LaplacesDemon, do:
    #hd <- Heidelberger.Diagnostic(Fit)
    #print(hd)

[Package LaplacesDemon version 16.1.1 Index]