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Use keyword syntax for ess, ess_rhat, rhat, and mcse #72

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merged 53 commits into from
Feb 26, 2023
Merged

Use keyword syntax for ess, ess_rhat, rhat, and mcse #72

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878cbe9
Create rhat.jl
sethaxen Feb 23, 2023
67ba11c
Add missing _expectand_proxy method
sethaxen Feb 23, 2023
067ce26
Remove duplicate rhat_tail
sethaxen Feb 23, 2023
c4d5025
Update ESS methods
sethaxen Feb 23, 2023
4029eb8
Define estimator keyword for mcse
sethaxen Feb 23, 2023
4a9267b
Reduce exports
sethaxen Feb 23, 2023
ca23065
Fix bug
sethaxen Feb 23, 2023
bae3acb
Run formatter
sethaxen Feb 23, 2023
d7fc664
Shortcut rank-normalizing a `Missing`
sethaxen Feb 23, 2023
1d8c21a
Update ESS tests
sethaxen Feb 23, 2023
a150814
Use new mcse syntax
sethaxen Feb 23, 2023
1d833df
Update documented methods
sethaxen Feb 23, 2023
49a69e7
Update text
sethaxen Feb 23, 2023
dc51b6f
Fix test
sethaxen Feb 24, 2023
7d1e9ef
Use new mcse signature
sethaxen Feb 24, 2023
3573277
Update type kwarg to estimator
sethaxen Feb 24, 2023
f4d9f67
Update mcse docstring
sethaxen Feb 24, 2023
7ea7927
Fix variable name
sethaxen Feb 24, 2023
1899722
Make tail-ESS work for typeunion with Missing
sethaxen Feb 24, 2023
4f9c709
Add rank for ESS
sethaxen Feb 24, 2023
7a4d497
Rearrange tests
sethaxen Feb 24, 2023
54d0046
Test against ess
sethaxen Feb 24, 2023
f13a45c
Add consistency test
sethaxen Feb 24, 2023
89facdd
Add inferrability tests for estimators
sethaxen Feb 24, 2023
19cecec
Add more error tests
sethaxen Feb 24, 2023
083011a
Try to resolve type-instability
sethaxen Feb 24, 2023
fcbbc43
Add Compat for `@constprop` macro
sethaxen Feb 25, 2023
50ec38d
Aggressively constprop
sethaxen Feb 25, 2023
c007678
Test type-inferrability with Vals
sethaxen Feb 25, 2023
546cb37
Make work for typeunions with Missing on v1.6
sethaxen Feb 25, 2023
d3f2a79
Avoid repeating split_chains docs
sethaxen Feb 25, 2023
7933342
Rename ess.jl to ess_rhat.jl
sethaxen Feb 25, 2023
6039539
Move rhat to same file as ess
sethaxen Feb 25, 2023
49ea9bc
Update costring
sethaxen Feb 25, 2023
a6cb1e1
Run formatter
sethaxen Feb 25, 2023
aa5ff07
Remove rhat.jl
sethaxen Feb 25, 2023
dc80418
Better unify tests
sethaxen Feb 25, 2023
a2d9d8f
Add missing type annotations
sethaxen Feb 25, 2023
a7977f6
Apply suggestions from code review
sethaxen Feb 25, 2023
3b6f1bc
Avoid `@constprop`, rename `type` and `estimator` to `kind`
sethaxen Feb 26, 2023
fa5484a
Cleanup
sethaxen Feb 26, 2023
d2980b6
Rename `estimator` to `kind` for `mcse`
sethaxen Feb 26, 2023
61a5c07
Update tests
sethaxen Feb 26, 2023
2cfda5a
Merge branch 'essrhat2' of https://github.com/TuringLang/MCMCDiagnost…
sethaxen Feb 26, 2023
8e08a39
Update kinds accepted for ESS
sethaxen Feb 26, 2023
c5bb96f
Remove unused utility
sethaxen Feb 26, 2023
2534c47
Constrain kind to Symbol when applicable
sethaxen Feb 26, 2023
84e8f1e
Remove stray tick
sethaxen Feb 26, 2023
07f72fd
Apply suggestions from code review
sethaxen Feb 26, 2023
a5fb307
Apply suggestions from code review
sethaxen Feb 26, 2023
4ff8f86
Add comment explaining kind checks
sethaxen Feb 26, 2023
7c48c9a
Merge branch 'essrhat2' of https://github.com/TuringLang/MCMCDiagnost…
sethaxen Feb 26, 2023
bcc7053
Change vectors to tuples
sethaxen Feb 26, 2023
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9 changes: 3 additions & 6 deletions docs/src/index.md
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Expand Up @@ -6,16 +6,13 @@ CurrentModule = MCMCDiagnosticTools

## Effective sample size and $\widehat{R}$

The effective sample size (ESS) and $\widehat{R}$ can be estimated with [`ess_rhat`](@ref).

```@docs
ess
rhat
ess_rhat
ess_rhat_bulk
ess_tail
rhat_tail
```

The following methods are supported:
The following `method`s are supported:

```@docs
ESSMethod
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4 changes: 2 additions & 2 deletions src/MCMCDiagnosticTools.jl
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Expand Up @@ -16,7 +16,7 @@ using Statistics: Statistics

export bfmi
export discretediag
export ess_rhat, ess_rhat_bulk, ess_tail, rhat_tail, ESSMethod, FFTESSMethod, BDAESSMethod
export ess, ess_rhat, rhat, ESSMethod, FFTESSMethod, BDAESSMethod
export gelmandiag, gelmandiag_multivariate
export gewekediag
export heideldiag
Expand All @@ -27,7 +27,7 @@ export rstar
include("utils.jl")
include("bfmi.jl")
include("discretediag.jl")
include("ess.jl")
include("ess_rhat.jl")
include("gelmandiag.jl")
include("gewekediag.jl")
include("heideldiag.jl")
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