Numerically stabilize autocorrelation()#3114
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is this the right fix? under what circumstances does autocorr[..., :1] get small?
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Yeah I don't know if this is the right fix. The issue is when one value doesn't vary at all, so in that case I think the autocorrelation should be 1. |
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would it make sense to e.g. add an explicit test that checks that the resulting effective sample size is small for a variable with zero variance? |
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OK I've added some tests.
hmm, it looks like our |
martinjankowiak
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Jul 8, 2022
martinjankowiak
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Jul 9, 2022
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Thanks for reviewing! |
OlaRonning
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Aug 2, 2022
* Allow autocorrelation() to run without mkl * Numerically stabilize * Clarify definition, add test * Remove xfail_if_not_implemented
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This sets the autocorrelation of constant series to be 1.0 rather than NAN.
I believe this is the proper behavior for MCMC testing, where series with no variation should be seen as having effective sample size of 1.
My use case is in computing autocorrelation of discrete time series, where I'm using autocorrelation as a diagnostic to detect lack of mixing. In that case I believe this PR is correct.
Tested