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Why does mcmcgr anticipate that the data will be a 3 dimensional array? Suppose I have M chains of N values, so that my data is only two 2D. How can I use this script with that?
There is a bug in this code:
In the definition of of the inverse wishart pdf the multivariate gamma distributrion is calculated as gammaln((d-k-klst)/2) which does not fit the definition of the multivariate gamma distribution: it should be gammaln(d - (k-klst)/2)
Thanks very much for help!
I am using your matlab function "mcmcgr" and have found one question.
I set up 5 chains each with length say 10000, and each chain only contains
zero components, so each chains is like "0,0,0,..." with 10000 zeros in it.
Obvious the convergence holds, but after I used mcmcgr to find its R
statistics, a "NaN" was reported. I don't know why this happens.
I am very grateful if you can help me with it!
Thanks a lot!