Re: Different ESS in MLwiN and R2MLwiN
Posted: Mon Aug 06, 2018 7:43 am
Morning Andy and Chris,
When I wrote the ESS calculation in MLwiN 20 odd years ago as you'll see I decided to limit the calculation to the first 1000 elements of the autocorrelation function probably partly because of time/space considerations (computers were slower at the time) and partly because if correlations were so high that even after a lag 1000 there would be big correlations then I would assume MCMC was mixing incredibly badly.
Looking at your chains Andy it looks like even after lag 100 the correlation hasn't shifted much from 1 so I suspect it is still big at 1000 and hence the difference.
I would check also Andy that your 2 models seem to possibly have hierarchical centering switched on at different levels as you have ordered birth_year and year the other way around. This might explain the difference in variance ESS.
Best wishes,
Bill.
When I wrote the ESS calculation in MLwiN 20 odd years ago as you'll see I decided to limit the calculation to the first 1000 elements of the autocorrelation function probably partly because of time/space considerations (computers were slower at the time) and partly because if correlations were so high that even after a lag 1000 there would be big correlations then I would assume MCMC was mixing incredibly badly.
Looking at your chains Andy it looks like even after lag 100 the correlation hasn't shifted much from 1 so I suspect it is still big at 1000 and hence the difference.
I would check also Andy that your 2 models seem to possibly have hierarchical centering switched on at different levels as you have ordered birth_year and year the other way around. This might explain the difference in variance ESS.
Best wishes,
Bill.