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## main #62 +/- ##
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- Coverage 97.44% 78.07% -19.38%
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| - if ``0.5 < \\hat{k} \\lessim 0.7, then the variance is infinite and plain IS can behave | ||
| poorly. PSIS works well in this regime, but the convergence rate is between ``S^{−1/2}`` | ||
| and ``S^{−3/10}``. |
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| - if ``0.5 < \\hat{k} \\lessim 0.7, then the variance is infinite and plain IS can behave | |
| poorly. PSIS works well in this regime, but the convergence rate is between ``S^{−1/2}`` | |
| and ``S^{−3/10}``. | |
| - if ``0.5 < \\hat{k} \\lessim 0.7, then the variance is infinite and plain IS can behave poorly. PSIS works well in this regime, but the convergence rate is between``S^{−1/2}``and``S^{−3/10}``. |
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The latest version of the PSIS paper added new diagnostics in addition to the Pareto shape diagnostic. The new diagnostics are detailed in stan-dev/posterior#237.
This PR adds these diagnostics. It additionally will completely refactor the codebase to separate diagnosing from smoothing. In particular, it adds
pareto_diagnoseandpareto_smooth. The former simply computes all diagnostics for the specified tails, while the latter both computes diagnostics for the tails but also smooths them.Fixes #26. Relates #21.