Computing the potential scale reduction ratio (PSRF)

Estimation ML/Bayesian estimation
1

Hi everyone

does there anyone know how to use Dynare to compute the potential scale reduction ratio (PSRF), which is mentioned by Brooks& Gelman (1998)

Thank you so much

2

Dear Peter,

We do not report this statistic. You have to modify the following matlab’s routines:

  • convergence_diagnostics/McMCDiagnostics_core.m
  • convergence_diagnostics/McMCDiagnostics.m

If you manage to do it, I encourage you to make a Github pull request so that we can integrate your code. Alternatively you can open an issue for requesting this new feature (but this is clearly not a priority for me…).

Best,
Stéphane.