Discussion of the paper "Rank-Normalization, Folding, and Localization: An Improved $\widehat{R}$ for Assessing Convergence of MCMC''

Théo Moins (1) , Julyan Arbel (1) , Anne Dutfoy (2) , Stéphane Girard (1)

1 STATIFY - Modèles statistiques bayésiens et des valeurs extrêmes pour données structurées et de grande dimension
2 EDF R&D PERICLES - PERformance et prévention des Risques Industriels du parC par la simuLation et les EtudeS

In this note, we discuss an adaptation of the quantile transformation introduced in Vehtari et al. (2021) to the computation of some new R and analyse associated theoretical properties.

Domaines: Statistiques [stat]

Théo Moins, Julyan Arbel, Anne Dutfoy, Stéphane Girard. Discussion of the paper "Rank-Normalization, Folding, and Localization: An Improved $\widehat{R}$ for Assessing Convergence of MCMC''. Bayesian Analysis, 2021, 16 (2), pp.711--712. ⟨10.1214/20-ba1221⟩. ⟨hal-03222934⟩