PROC BGLIMM provides convergence diagnostic tests that check for Markov chain convergence. It produces a number of ODS tables that you can display and save individually. For information about calculations, see the section Statistical Diagnostic Tests in Chapter 8, Introduction to Bayesian Analysis Procedures.
The "Autocorrelations" table (ODS table name AUTOCORR) contains the first-order autocorrelations of the posterior samples for each parameter. The Parameter column states the name of the parameter. By default, PROC BGLIMM displays lag 1, 5, 10, and 50 estimates of the autocorrelations. You can request different autocorrelations by specifying the DIAGNOSTICS=AUTOCORR(LAGS=) option in the PROC BGLIMM statement. This table is displayed by default.
The "Effective Sample Sizes" table (ODS table name ESS) calculates the effective sample size of each parameter. For more information, see the section Effective Sample Size in Chapter 8, Introduction to Bayesian Analysis Procedures. This table is displayed by default.
The "Monte Carlo Standard Errors" table (ODS table name MCSE) calculates the standard errors of the posterior mean estimate. For more information, see the section Standard Error of the Mean Estimate in Chapter 8, Introduction to Bayesian Analysis Procedures. This table is not displayed by default. You can display it by specifying the DIAGNOSTICS=MCSE option in the PROC BGLIMM statement.
The "Geweke Diagnostics" table (ODS table name Geweke) lists the results of the Geweke diagnostic test. For more information, see the section Geweke Diagnostics in Chapter 8, Introduction to Bayesian Analysis Procedures. This table is not displayed by default. You can display it by specifying the DIAGNOSTICS=GEWEKE option in the PROC BGLIMM statement.
The "Heidelberger-Welch Diagnostics" table (ODS table name Heidelberger) lists the results of the Heidelberger-Welch diagnostic test. The test consists of two parts: a stationarity test and a halfwidth test. For more information, see the section Heidelberger and Welch Diagnostics in Chapter 8, Introduction to Bayesian Analysis Procedures. This table is not displayed by default. You can display it by specifying the DIAGNOSTICS=HEIDEL option in the PROC BGLIMM statement.
The "Raftery-Lewis Diagnostics" table (ODS table name Raftery) lists the results of the Raftery-Lewis diagnostic test. For more information, see the section Raftery and Lewis Diagnostics in Chapter 8, Introduction to Bayesian Analysis Procedures. This table is not displayed by default. You can display it by specifying the DIAGNOSTICS=RAFTERY option in the PROC BGLIMM statement.
The "Watanabe-Akaike Information Criterion" table (ODS table name WAIC) contains the Watanabe-Akaike information criterion (WAIC) of the model. This table is not displayed by default. You can display it by specifying the WAIC option in the PROC BGLIMM statement.