Rank-Normalization, Folding, and Localization: An Improved Rˆ for Assessing Convergence of MCMC (with Discussion)

Markov chain Monte Carlo is a key computational tool in Bayesian statistics, but it can be challenging to monitor the convergence of an iterative stochastic algorithm. In this paper we show that the convergence diagnostic Rˆ of Gelman and Rubin (1992) has serious flaws. Traditional Rˆ will fail to c... View More