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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!

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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

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