R: BMK Convergence Diagnostic

BMK.Diagnostic {LaplacesDemon} | R Documentation

## BMK Convergence Diagnostic

### Description

Given a matrix of posterior samples from MCMC, the `BMK.Diagnostic` function calculates Hellinger distances between consecutive batches for each chain. This is useful for monitoring convergence of MCMC chains.

### Usage

    BMK.Diagnostic(X, batches=10)

### Arguments

`X` | This required argument accepts a matrix of posterior samples or an object of class `demonoid`, in which case it uses the posterior samples in `X$Posterior1`.
`batches` | This is the number of batches on which the convergence diagnostic will be calculated. The `batches` argument defaults to 10.

### Details

Hellinger distance is used to quantify dissimilarity between two probability distributions. It is based on the Hellinger integral, introduced by Hellinger (1909). Traditionally, Hellinger distance is bound to the interval [0,1], though another popular form occurs in the interval [0,sqrt(2)]. A higher value of Hellinger distance is associated with more dissimilarity between the distributions.

Convergence is assumed when Hellinger distances are below a threshold, indicating that posterior samples are similar between consecutive batches. If all Hellinger distances beyond a given batch of samples is below the threshold, then `burnin` is suggested to occur immediately before the first batch of satisfactory Hellinger distances.

As an aid to interpretation, consider a matrix of 1,000 posterior samples from three chains: `beta[1]`, `beta[2]`, and `beta[3]`. With 10 batches, the column names are: 100, 200, ..., 900. A Hellinger distance for the chain `beta[1]` at 100 is the Hellinger distance between two batches: samples 1-100, and samples 101:200.

A benefit to using `BMK.Diagnostic` is that the resulting Hellinger distances may easily be plotted with the `plotMatrix` function, allowing the user to see quickly which consecutive batches of which chains were dissimilar. This makes it easier to find problematic chains.

The `BMK.Diagnostic` is calculated automatically in the `LaplacesDemon` function, and is one of the criteria in the `Consort` function regarding the recommendation of when to stop updating the Markov chain Monte Carlo (MCMC) sampler in `LaplacesDemon`.

For more information on the related topics of burn-in and stationarity, see the `burnin` and `is.stationary` functions, and the accompanying vignettes.

### Value

The `BMK.Diagnostic` function returns an object of class `bmk` that is a J x B matrix of Hellinger distances between consecutive batches for J parameters of posterior samples. The number of columns, B is equal to the number of batches minus one.

The `BMK.Diagnostic` function is similar to the `bmkconverge` function in package BMK.

### References

Boone, E.L., Merrick, J.R. and Krachey, M.J. (2013). "A Hellinger Distance Approach to MCMC Diagnostics". Journal of Statistical Computation and Simulation, in press.

Hellinger, E. (1909). "Neue Begrundung der Theorie quadratischer Formen von unendlichvielen Veranderlichen" (in German). Journal fur die reine und angewandte Mathematik, 136, p. 210–271.

### See Also

`burnin`, `Consort`, `is.stationary`, and `LaplacesDemon`.

### Examples

    library(LaplacesDemon)
    N <- 1000 #Number of posterior samples
    J <- 10 #Number of parameters
    Theta <- matrix(runif(N*J),N,J)
    colnames(Theta) <- paste("beta[", 1:J, "]", sep="")
    for (i in 2:N) {Theta[i,1] <- Theta[i-1,1] + rnorm(1)}
    HD <- BMK.Diagnostic(Theta, batches=10)
    plot(HD, title="Hellinger distance between batches")

[Package LaplacesDemon version 16.1.1 Index]