Take the 2-minute tour ×
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.

I am running a Gibbs sampler for Multivariate Normal times Inverse Wishart posterior distribution with missing data imputation step. I am trying to check if my step of simulating covariance matrices from Inverse-Wishart converges. How would I go about it? In MCMC I usually run Gelman-Rubin diagnostic test.

Thank you!

share|improve this question
    
So why don't you check the convergence as usual for each element of the covariance matrix ? –  Stéphane Laurent Jun 11 '12 at 7:38
    
Gibbs sampling is a special type of MCMC. –  Xi'an Jun 11 '12 at 20:38
add comment

Know someone who can answer? Share a link to this question via email, Google+, Twitter, or Facebook.

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.