This repository contains R package localrhat, which implements a local version of the Gelman-Rubin diagnostic R-hat:

T. Moins, J. Arbel, S. Girard, & A. Dutfoy. “On the use of a local R-hat to improve MCMC convergence diagnostic” Bayesian Anal. (Advance Publication), 1-26, (2023) DOI: 10.1214/23-BA1399

Resources

• ArXiv of the paper associated to this local version R-hat
• Online appendix that contains all the experiments using R
• Additional experiments on the multivariate case using Python and OpenTurns

Content

• R: the code associated to the package.
• experiments: content of the online appendix, with all experiments using the package
• man: documentation generated with roxygen