bridgestat.diag {codadiags} | R Documentation |
Iterative truncation procedure based on a bridge statistic.
bridgestat.diag(x, bridge = "student", stat = "E", param = "asymptotic", trunc = 1, eps = 0.1, pvalue = 0.3)
x |
coda::mcmc sequence (will be cast to if necessary) to truncate transient |
bridge |
bridge type to use: "brownian", student" or "loglik" |
stat |
statistic to use for testing bridge: - if student bridge, "E","var","autocov","loglik_mean","loglik_extremum","extremum","ratio_extremum","ratio_loglik_extremum" - if brownian bridge, "E","var","autocov","loglik_mean","loglik_extremum","extremum","ratio_extremum","ratio_loglik_extremum" - if loglik bridge, "E","var","autocov","extremum","ratio_extremum" |
param |
if "asymptotic" use asymptotic statistics, else if a list of 'N' and 'rho' use these parameters, if NULL estimate N and rho |
trunc |
number of mcmc iterations to delete: if >=1, it is a constant number, if <1, a percentage of remaining batches |
eps |
Target value for ratio of halfwidth to sample mean (for compatibility with heidel.diag) |
pvalue |
significance level to use in iterative test |
Heidelberger P and Welch PD. Simulation run length control in the presence of an initial transient. Opns Res., 31, 1109-44 (1983)
coda::heidel.diag
require(codadiags) set.seed(123) x = AR1() print(bridgestat.diag(x)) y = add.transient(x) print(bridgestat.diag(y,trunc=10))