posterior Weighted diagnostics

Summary

Adds weighted ESS, MCSE and Pareto diagnostics.

Copyright and Licensing

By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses:

Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

Mar 21 '24 07:03 n-kall

This is how benchmark results would change (along with a 95% confidence interval in relative change) if 77cdf1ace4251467cdfc990954363395878f5c0f is merged into rvar_weights:

:rocket:as_draws_array: 141ms -> 139ms [-2.13%, -0.83%]
:ballot_box_with_check:as_draws_df: 64.8ms -> 65.1ms [-1.67%, +2.43%]
:ballot_box_with_check:as_draws_list: 158ms -> 158ms [-0.74%, +1.11%]
:ballot_box_with_check:as_draws_matrix: 62.7ms -> 63.4ms [-0.79%, +2.97%]
:ballot_box_with_check:as_draws_rvars: 80.5ms -> 81.6ms [-0.13%, +2.77%]
:ballot_box_with_check:summarise_draws_100_variables: 709ms -> 710ms [-0.24%, +0.47%]
:ballot_box_with_check:summarise_draws_10_variables: 111ms -> 111ms [-1.44%, +0.6%] Further explanation regarding interpretation and methodology can be found in the documentation.

Mar 21 '24 08:03 github-actions[bot]

Thank you! @avehtari would you have time to review this PR?

Mar 21 '24 08:03 paul-buerkner

I should still add some documentation, but I think the core functionality is there (plus tests)

Mar 21 '24 10:03 n-kall

This is how benchmark results would change (along with a 95% confidence interval in relative change) if d56a5c9442d5a437d3dbf2bebfbec51b06ef2f9e is merged into rvar_weights:

:rocket:as_draws_array: 151ms -> 149ms [-1.92%, -0.49%]
:exclamation::snail:as_draws_df: 72.8ms -> 73.7ms [+0.27%, +2.25%]
:ballot_box_with_check:as_draws_list: 168ms -> 168ms [-0.58%, +0.7%]
:ballot_box_with_check:as_draws_matrix: 67.8ms -> 67.3ms [-1.9%, +0.47%]
:ballot_box_with_check:as_draws_rvars: 84.5ms -> 84.2ms [-1.43%, +0.69%]
:ballot_box_with_check:summarise_draws_100_variables: 719ms -> 721ms [-0.14%, +0.53%]
:ballot_box_with_check:summarise_draws_10_variables: 116ms -> 116ms [-0.98%, +0.35%] Further explanation regarding interpretation and methodology can be found in the documentation.

Mar 22 '24 15:03 github-actions[bot]

This is how benchmark results would change (along with a 95% confidence interval in relative change) if 1079cefe5c83d6c9578d1f126a5887a1505aa344 is merged into rvar_weights:

:heavy_check_mark:as_draws_array: 137ms -> 137ms [-0.89%, +0.54%]
:heavy_check_mark:as_draws_df: 60.9ms -> 61.2ms [-1.14%, +2.31%]
:exclamation::snail:as_draws_list: 156ms -> 157ms [+0.53%, +1.79%]
:heavy_check_mark:as_draws_matrix: 60ms -> 59.4ms [-2.16%, +0.01%]
:heavy_check_mark:as_draws_rvars: 82ms -> 82.5ms [-0.5%, +1.7%]
:exclamation::snail:summarise_draws_100_variables: 707ms -> 741ms [+4.44%, +5.01%]
:heavy_check_mark:summarise_draws_10_variables: 110ms -> 111ms [-0.2%, +1.03%] Further explanation regarding interpretation and methodology can be found in the documentation.

Apr 09 '24 12:04 github-actions[bot]