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minor change in ESS estimation in mcse_sd based on more simulations #266

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merged 1 commit into from
Jan 2, 2023

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avehtari
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@avehtari avehtari commented Jan 2, 2023

Summary

mcse_sd was estimating ESS from abs(x-E[x]). In my old simulations, this had worked better than (x-E[x])^2. It's likely that the change in how the rest of MCSE for sd is estimated (PR #233) did affect that now the more logical (x-E[x])^2 works better, as demonstrated by simulations run by @sethaxen.

Here are the plots for the new simulation results
image
image

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@avehtari avehtari requested a review from paul-buerkner January 2, 2023 14:18
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Thanks. Looks good.

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Merging now.

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2 participants