Copyright (C) 1999 Simo Särkkä
Copyright (C) 2000-2004 Aki Vehtari
Maintainer: Aki Vehtari
In 1999 Simo Särkkä implemented several Markov chain Monte Carlo (MCMC) convergence diagnostics in Matlab at Helsinki University of Technology, Laboratory of Computational Engineering. Later Aki Vehtari added a few additonal utilities, fixed bugs and improved the documentation.
This software is distributed under the GNU General Public Licence (version 2 or later); please refer to the file Licence.txt, included with the software, for details.
Convergence diagnostics PSRF - Gelman-Rubin Potential Scale Reduction Factor CPSRF - Cumulative Potential Scale Reduction Factor MPSRF - Multivariate Potential Scale Reduction Factor CMPSRF - Cumulative Multivariate Potential Scale Reduction Factor IPSRF - Interval-based Potential Scale Reduction Factor CIPSRF - Cumulative Interval-based Potential Scale Reduction Factor KS - Kolmogorov-Smirnov goodness-of-fit hypothesis test HAIR - Brooks' hairiness convergence diagnostic CUSUM - Yu-Mykland convergence diagnostic for MCMC SCORE - Calculate score-function convergence diagnostic GBINIT - Initial iterations for Gibbs iteration diagnostic GBITER - Estimate number of additional Gibbs iterations Time series analysis ACORR - Estimate autocorrelation function of time series ACORRTIME - Estimate autocorrelation evolution of time series (simple) GEYER_ICSE - Compute autocorrelation time tau using Geyer's initial convex sequence estimator (requires Optimization toolbox) GEYER_IMSE - Compute autocorrelation time tau using Geyer's initial monotone sequence estimator Kernel density estimation etc.: KERNEL1 - 1D Kernel density estimation of data KERNELS - Kernel density estimation of independent components of data KERNELP - 1D Kernel density estimation, with automatic kernel width NDHIST - Normalized histogram of N-dimensional data HPDI - Estimates the Bayesian HPD intervals Manipulation of MCMC chains THIN - Delete burn-in and thin in MCMC-chains JOIN - Join similar structures of arrays to one structure of arrays Misc: CUSTATS - Calculate cumulative statistics of data