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Add Rhatv5
Summary:
Rhatv5 is one of the latest convergence diagnostics. While the packages RStan, posterior, and ArviZ use this new calculation, Stan/CmdStan does not yet. The following functionality needs to be added in order to calculate Rhatv5
- [ ] rank normalize draws
- [ ] inverse normal transformation
- [ ] fold draws
With these, Rhatv5 is just a combination of the above functions and split chains, which is already available re Issue #2752.
Additional Information:
As another reference, here is RStan's implementation: https://github.com/stan-dev/rstan/blob/develop/rstan/rstan/R/monitor.R
Current Version:
v2.21.0
This appears to be a duplicate of https://github.com/stan-dev/stan/issues/2877
