MCMCDiagnostics contains two diagnostics, written in Julia, for Markov Chain Monte Carlo. The first is potential_scale_reduction(chains...), which estimates the potential scale reduction factor, also known as Rhat, for multiple scalar chainsâ¨. The second, effective_sample_size(chain), calculates the effective sample size for scalar chains. These diagnostics are intended as building blocks for use by other libraries.
Astrophysics Source Code Library
- Pub Date:
- November 2020