I am currently using MCMC for Bayesian Inference and am now plotting diagnostics plots. While I understand what I am looking for in a trace plot, I am not so sure about the cumulative quantile plot and the probability density plot. Why should I look at them, what am I looking for and how do I interpret the results?

Here are they plotting all of them too, but without a proper explanation: http://www.cryoung.org/wp-content/uploads/2014/09/MCMC-workshop-MBARI-2006.pdf


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