simulation_based_calibration
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Add parameter recovery plot
In addition to the very beautiful, if I may say so 😂, PIT-ECDF difference plots, many users would potentially be interested in assessing the parameter recovery.
Thoughts on implementation
In addition to the rank, one would need to save the simulated value, posterior expectation, and credible interval for each SBC iteration. If we ask the user in advance for the width of the desired interval, we don't necessarily need to save the samples. I'm writing "we", as I'm very much open to helping in this.
Here is the implementation from the SBC package: https://hyunjimoon.github.io/SBC/reference/plot_sim_estimated.html
Sounds good. In particular, the "we" part.