Thanks for sharing this great work. I really like the ideas surrounding the error estimates for quantiles.
While trying to better understand what’s going on, I stumbled across a possible quirk in the functions
monitor_extra of the updated code and thought I should pass along the info – I hope I’m not overstepping my bounds.
The first argument to both functions is
sims was created by running only one chain, then the check for two dimensions won’t catch as
sims has 3 dimensions, with the chains position equal to 1. Following this, the real issue comes up in the main for-loop of
sims_i <- sims[, , i] will return a vector instead of a matrix since the chains dimension is 1. This means that the code
prod(dim(sims_i)) returns 1 (since
NULL) instead of the intended
iter * chains.
I understand that this code is not really intended for 1 chain runs, but thought that I should share this anyway.