Rank-normalization, folding, and localization: An improved R-hat for assessing convergence of MCMC

With Aki, Dan, Bob, and Paul: Markov chain Monte Carlo is a key computational tool in Bayesian statistics, but it can be challenging to monitor the convergence of an iterative stochastic algorithm. In this paper we show that the convergence diagnostic R-hat of Gelman and Rubin (1992) has serious flaws. R-hat will fail to correctly …