Number of iterations

General
2

  1. Specifically for the Stan implementation of HMC you can expect for most well-parameterized models to get more than one effective sample per 10 iterations. So the 10% threshold is a good one. If you’re getting fewer than that you should consider other options for parameterization (unless you’re getting a big enough effective sample size anyway, in that case carry on).

  2. I think it’s either close or already possible, not sure if it’s made it into the interfaces yet. It’s not much help though.

  3. Nah, if your sample is big enough and you meet the convergence criteria don’t worry about it. OTOH if you’re running Stan for hours/days to get your samples you are a) wasting your time; and b) likely using a terrible parameterization (or a very hard model) and you could do much better.

  4. All that stuff about running a million iterations and thinning by 10k is irrelevant for Stan/HMC, don’t do that.

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