Local ESS, quantile ESS, ESS change, and rank-based alternative to traceplot
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@paul-buerkner is already working on this.
Since Mar 20, 2019.
feature
new plot
- Dominant language
- R
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Description
Edit: Sorry @tjmahr, that I (Aki) hijack this issue.
Implement new plots as described in
- Aki Vehtari, Andrew Gelman, Daniel Simpson, Bob Carpenter, Paul-Christian Bürkner (2019): Rank-normalization, folding, and localization: An improved R-hat for assessing convergence of MCMC. arXiv preprint arXiv:1903.08008.
See also Dan's blog post
The reference code is available in monitorplot.R
Implement versions of functions
- mcmc_rank_hist, mcmc_rank_overlay for rank plots
- mcmc_ecdfd_r_scale for ECDF difference plots (see Fig. 14c in SBC paper)
- mcmc_ess_local for local efficiency plots
- mcmc_ess_quantile for quantile efficiency plots
- mcmc_ess_change for efficiency change plots
Feel free to come up with better function names, add checks, and it's fine to make separate PRs for these, if you want to implement just one.
For three last ones see also stan-dev/rstan#617
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