New R-hat, ESS and quantile-MCSE functions
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@avehtari is already working on this.
Since Mar 20, 2019.
enhancement
feature
- Dominant language
- R
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Description
Summary:
Add new R-hat, ESS and quantile-MCSE 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.
Description:
The reference implementation is available in monitornew.R
- There is a new version of
monitor(), but for backward compatibility it would be better to use different name. monitor_extra()is needed only for the supporting experiments and should not to be implemented in rstan.- A bit more modularity in the code would be good, so that there would be separate functions for
- R-hat
- bulk-ESS
- tail-ESS
- quantile-ESS
- mean-ESS
- sd-ESS
- quantile-MCSE
- mean-MCSE
- sd-MCSE
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