summary for standalone GQ, VI, etc.

Summary

Any object returned by sampling should allow .summary() to be called on it to report mean, sd, MCMC SE, quantiles, and R-hat. This includes objects returned by

• CmdStanMCMC: MCMC sampling
• CmndStanGQ: generated quantities
• CmdStanVB: variational inference
• ???: Laplace approximation

Is Laplace approximation not supported yet in CmdStanPy? It will also return a sample of multiple draws and should also include a .summary() method.

Description

One way to do this would be to have each of these wrapper objects allow the actual draws to be extracted. Right now, there is a high-level "helper" function, where if mcmc_fit is a CmdStanMCMC object, I just call mcmc_fit.summary() directly. I would rather have this work by mcmc_fit.draws() pulling out a simple draws object on which the summary() operates. Then the other object would also support a .draws() extraction and then summary() would be a standalone function that applies to a draws object rather than to the whole output of a run (I don't know what else is in the CmdStanMCMC object---I only ever use the draws).

Current Version

1.1.0

Start by inspecting the existing CmdStanMCMC.summary() method and the high-level summary helper, then compare the outputs exposed by CmdStanMCMC, CmdStanGQ, and CmdStanVB. Determine how draws are extracted and whether Laplace approximation is supported; done means the supported sampling results have a consistent summary path and the Laplace behavior is explicitly resolved.