Improve ESS estimates for antithetic chains #58
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Pull Request Test Coverage Report for Build 3911141108Warning: This coverage report may be inaccurate.This pull request's base commit is no longer the HEAD commit of its target branch. This means it includes changes from outside the original pull request, including, potentially, unrelated coverage changes.
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Codecov ReportBase: 95.63% // Head: 95.64% // Increases project coverage by
Additional details and impacted files@@ Coverage Diff @@
## main #58 +/- ##
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+ Coverage 95.63% 95.64% +0.01%
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Files 10 10
Lines 710 712 +2
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+ Hits 679 681 +2
Misses 31 31
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@devmotion this is ready for final review |
| # - https://github.com/TuringLang/MCMCDiagnosticTools.jl/issues/40 | ||
| # - https://github.com/stan-dev/rstan/pull/618 | ||
| # - https://github.com/stan-dev/stan/pull/2774 | ||
| τ = max(0, 2 * sum_pₜ + max(0, ρ_even) - 1) |
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Is this line "correct", i.e., desired, even if we never run the while loop (i.e., if maxlag <= 2? In these cases it would simplify to τ = max(0, 2 * sum_pₜ) since ρ_even = 1. And in contrast to the other values we would use the last ρ_odd.
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No it's not. I've modified to compute the final ρ_even only if maxlag >= 2. Otherwise it is set to 0 before this line.
This PR fixes #40. It's marked as draft currently because I plan to use the test utilities in #53 to write the tests.