PSIS.jl
PSIS.jl copied to clipboard
Refactor to support new diagnostics
The latest version of the PSIS paper added new diagnostics in addition to the Pareto shape diagnostic. The new diagnostics are detailed in https://github.com/stan-dev/posterior/issues/237.
This PR adds these diagnostics. It additionally will completely refactor the codebase to separate diagnosing from smoothing. In particular, it adds pareto_diagnose
and pareto_smooth
. The former simply computes all diagnostics for the specified tails, while the latter both computes diagnostics for the tails but also smooths them.
Fixes #26. Relates #21.