[r-cran-coda] 27/60: Imported Upstream version 0.13-3

[Andreas Tille]

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tille pushed a commit to branch master
in repository r-cran-coda.

commit dd21e87bd80a895cf72b3cd0c1530a87075bfef9
Author: Andreas Tille <tille at debian.org>
Date:   Fri Dec 16 12:09:58 2016 +0100

    Imported Upstream version 0.13-3
---
 DESCRIPTION        |  6 +++---
 R/gelman.R         | 15 +++++++++++++--
 man/gelman.diag.Rd |  4 +++-
 3 files changed, 19 insertions(+), 6 deletions(-)

diff --git a/DESCRIPTION b/DESCRIPTION
index cc5eb8d..ac60dfa 100644
--- a/DESCRIPTION
+++ b/DESCRIPTION
@@ -1,6 +1,6 @@
 Package: coda
-Version: 0.13-2
-Date: 2008-05-16
+Version: 0.13-3
+Date: 2008-09-09
 Title: Output analysis and diagnostics for MCMC
 Author: Martyn Plummer, Nicky Best, Kate Cowles, Karen Vines
 Maintainer: Martyn Plummer <plummer at iarc.fr>
@@ -8,4 +8,4 @@ Depends: R (>= 2.5.0), lattice
 Description: Output analysis and diagnostics for Markov Chain Monte
   Carlo simulations. 
 License: GPL (>= 2)
-Packaged: Fri May 16 15:44:33 2008; martyn
+Packaged: Tue Sep  9 15:40:04 2008; martyn
diff --git a/R/gelman.R b/R/gelman.R
index 03adba5..561e4e2 100644
--- a/R/gelman.R
+++ b/R/gelman.R
@@ -38,8 +38,19 @@
   B <- Niter * var(t(xbar))
 
   if(Nvar > 1) {
-    emax <- eigen(qr.solve(W,B), symmetric=FALSE, only.values=TRUE)$values[1]
-    mpsrf <- sqrt( (1 - 1/Niter) + (1 + 1/Nvar) * emax/Niter )
+      ## We want the maximal eigenvalue of the square matrix X that
+      ## solves WX = B. It is numerically easier to work with a
+      ## symmetric matrix that has the same eigenvalues as X.
+      if (is.R()) {
+          CW <- chol(W)
+          emax <- eigen(backsolve(CW, t(backsolve(CW, B, transpose=TRUE)),
+                                  transpose=TRUE),
+                        symmetric=TRUE, only.values=TRUE)$values[1]
+      }
+      else {
+          emax <- eigen(qr.solve(W,B), symmetric=FALSE, only.values=TRUE)$values
+      }
+      mpsrf <- sqrt( (1 - 1/Niter) + (1 + 1/Nvar) * emax/Niter )
   }
   else
     mpsrf <- NULL
diff --git a/man/gelman.diag.Rd b/man/gelman.diag.Rd
index 3e92d8a..58511f9 100644
--- a/man/gelman.diag.Rd
+++ b/man/gelman.diag.Rd
@@ -85,7 +85,9 @@ factor if the MCMC run is continued.
 
 \note{
 The multivariate a version of Gelman and Rubin's diagnostic was
-proposed by Brooks and Gelman (1997).
+proposed by Brooks and Gelman (1997). Unlike the univariate proportional
+scale reduction factor, the multivariate version does not include an
+adjustment for the estimated number of degrees of freedom.
 }
 
 \references{

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