PSIS.jl icon indicating copy to clipboard operation
PSIS.jl copied to clipboard

Refactor to support new diagnostics

Open sethaxen opened this issue 7 months ago • 1 comments

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.

sethaxen avatar Dec 26 '23 20:12 sethaxen