MCMCResult

MCMCResult(self, chain: MarkovChain)

An object containing a constructed Markov chain.

Attributes

xs : Tensor

An \(n \times k\) matrix containing the samples that form the Markov chain.

potentials : Tensor

An \(n\)-dimensional vector containing the potential function associated with the target density evaluated at each sample in the chain.

acceptance_rate : float

The acceptance rate of the sampler.

iacts : Tensor

A \(k\)-dimensional vector containing estimates of the integrated autocorrelation time (IACT) for each parameter.

ess : Tensor

A \(k\)-dimensional vector containing estimates of the effective sample size (ESS) of each parameter.

Notes

The IACT for parameter \(i\), denoted using \(\tau_{i}\), is estimated using the monotone sequence estimator outlined by Geyer (2011).

References

Geyer, CJ (2011). Introduction to Markov chain Monte Carlo. In: Handbook of Markov Chain Monte Carlo 3–48.