MCMCDiagnosticTools.jl
MCMCDiagnosticTools.jl copied to clipboard
New ESS estimators
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:
- Shape constrained autocorrelation estimator (https://arxiv.org/abs/2207.12705)
- 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?