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Weighted convergence diagnostics #352

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n-kall
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@n-kall n-kall commented Mar 7, 2024

Summary

Add weight support to ess_*, mcse_* and pareto_* diagnostics for rvars

Still some work to do to check validity of all functions, add tests, and cleanup, but progress is being made

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@mjskay
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mjskay commented Mar 8, 2024

Awesome, thanks for working on this! If this gets done before the rvar_weights branch is merged I'll merge it into that branch.

@n-kall
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n-kall commented Mar 11, 2024

I'll first make these functions assuming MCMC + weights, and then at a later time once the handling of MC draws is decided, they can be updated

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mjskay commented Mar 11, 2024

I'll first make these functions assuming MCMC + weights, and then at a later time once the handling of MC draws is decided, they can be updated

Sounds good to me. I think the attribute for that would best be done as another PR later.

@n-kall n-kall deleted the branch stan-dev:rvar_weights March 21, 2024 07:35
@n-kall n-kall closed this Mar 21, 2024
@n-kall n-kall deleted the rvar_weights branch March 21, 2024 07:35
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