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Commit e8a80e1

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Merge pull request #456 from voberoi/autocorr-fix
Ch. 3 correction: MCMC *not* exploring the space well likely exhibits high autocorr.
2 parents e575439 + 7a5dd0e commit e8a80e1

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‎Chapter3_MCMC/Ch3_IntroMCMC_PyMC2.ipynb

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"\n",
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"By the nature of the MCMC algorithm, we will always be returned samples that exhibit autocorrelation (this is because of the step `from your current position, move to a position near you`).\n",
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"\n",
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"A chain that is [Isn't meandering exploring?] exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"A chain that is not exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"\n",
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"This does not imply that a converged MCMC has low autocorrelation. Hence low autocorrelation is not necessary for convergence, but it is sufficient. PyMC has a built-in autocorrelation plotting function in the `Matplot` module. "
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]

‎Chapter3_MCMC/Ch3_IntroMCMC_PyMC3.ipynb

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"\n",
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"By the nature of the MCMC algorithm, we will always be returned samples that exhibit autocorrelation (this is because of the step `from your current position, move to a position near you`).\n",
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"\n",
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"A chain that is [Isn't meandering exploring?] exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"A chain that is not exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"\n",
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"This does not imply that a converged MCMC has low autocorrelation. Hence low autocorrelation is not necessary for convergence, but it is sufficient. PyMC3 has a built-in autocorrelation plotting function in the `plots` module. "
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‎Chapter3_MCMC/Ch3_IntroMCMC_TFP.ipynb

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"\n",
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"By the nature of the MCMC algorithm, we will always be returned samples that exhibit autocorrelation (this is because of the step `from your current position, move to a position near you`).\n",
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"\n",
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"A chain that is [Isn't meandering exploring?] exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"A chain that is not exploring the space well will exhibit very high autocorrelation. Visually, if the trace seems to meander like a river, and not settle down, the chain will have high autocorrelation.\n",
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"\n",
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"This does not imply that a converged MCMC has low autocorrelation. Hence low autocorrelation is not necessary for convergence, but it is sufficient. TFP has a built-in autocorrelation tools as well. "
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]

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