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New ESS estimators

Open Red-Portal opened this issue 8 months ago • 3 comments

Hi!

I am looking into maybe contributing more ESS estimators to MCMCDiagnosticTools.jl, but it seems the current organization of the package is quite tightly coupled with the current ess_rhat.jl file. So, I am not sure how to proceed. In particular, I am interesting in working into the two following estimators:

  1. Shape constrained autocorrelation estimator (https://arxiv.org/abs/2207.12705)
  2. The Vats-Flegal-Jones estimator (https://arxiv.org/abs/1507.08266)

1 shows quite impressive variance reductions in estimating the autocorrelation of reversible chains, while 2 is an estimator also applicable to non-reversible chains, which the current package does not have. (I also think the docs would be better if it made it clear the current ess_rhat routines specifically assume reversibility.)

What would be the best course of action here? Should I make a new file for each estimator and add them first, and look into integration later?

Red-Portal avatar Jun 03 '24 21:06 Red-Portal