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Improved MCSE #39

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sethaxen opened this issue May 19, 2022 · 1 comment
Closed

Improved MCSE #39

sethaxen opened this issue May 19, 2022 · 1 comment

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@sethaxen
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See corresponding issues in posterior (stan-dev/posterior#232) and ArviZ (arviz-devs/arviz#2005)

@sethaxen
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sethaxen commented Jan 12, 2023

More broadly, we should update our implementations of mcse in several ways:

I'm not 100% certain what the API should look like. My inclination is that we should ultimately move away from our existing implementations, since they ignore between-chain variance and so likely underestimate the MCSE. The ESS approach should be used by default for the estimators that use it (accepting a method keyword forwarded to ess_rhat), and this replaces imse. I'm not certain how useful ipse is by comparison. For the fallback for generic estimators, we should benchmark bootstrapping vs batch-means use SBM.

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