I have a quick and general question on the multivariate MCMC diagnostic calculation. Looking at the source code, it appears that the multivariate convergence statistic is not calculated as described in the Brooks, Gelman paper (while the univariate statistics are). Rather than using the scalar distance between the covariance matrix estimates to generate the multivariate stats, it appears that the univariate methodology is being applied to draws of the log posterior (logpo2) in Dynare. Am I reading the code correctly? If so, are the two methods equivalent? Is there any background out there on this calculation, like perhaps a paper I am missing?
Thanks in advance,