arviz.geweke

arviz.geweke(values, first=0.1, last=0.5, intervals=20)[source]

Compute z-scores for convergence diagnostics.

Compare the mean of the first % of series with the mean of the last % of series. x is divided into a number of segments for which this difference is computed. If the series is converged, this score should oscillate between -1 and 1.

Parameters:
values : 1D array-like

The trace of some stochastic parameter.

first : float

The fraction of series at the beginning of the trace.

last : float

The fraction of series at the end to be compared with the section at the beginning.

intervals : int

The number of segments.

Returns:
scores : list [[]]

Return a list of [i, score], where i is the starting index for each interval and score the Geweke score on the interval.

Notes

The Geweke score on some series x is computed by:

\[\frac{E[x_s] - E[x_e]}{\sqrt{V[x_s] + V[x_e]}}\]

where \(E\) stands for the mean, \(V\) the variance, \(x_s\) a section at the start of the series and \(x_e\) a section at the end of the series.

References

Geweke (1992)