Feature request: Expose autocorrelation functions
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- Dominant language
- C++
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- Avg merge
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Description
It occurred to me recently that it could help reduce multimodality in periodic models if they were expressed to imply that autocorrelation of residuals are drawn from a zero-correlation population, in which case it would be useful to use the autocorrelation function from stan-math. I don't think it is presently available for users, correct?
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the linked Stan discussion, then search the stan-math codebase for the existing autocorrelation or autocovariance implementation. Determine how that function could be exposed to users and what tests cover the public interface; done means users can call the autocorrelation function from Stan Math.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- backend-api-design
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100