Python module providing common effective sample size (ESS) estimators along with some convergence diagnostics tools. The estimate_ess function computes ESS of one or two-dimensional array along the specified axis:
from mcmc_diagnostics import estimate_ess
ess = estimate_ess(samples, axis=-1)The default ESS estimator uses the same algorithm as the R "coda" and have been checked to yield the same results:
Other estimators are also available:
mono_seq_ess = estimate_ess(
samples, axis=-1, method='monotone-sequence'
)
batch_ess = estimate_ess(
samples, axis=-1, method='batch-means', options={'n_batch': 50}
)