Weighted samples

[devmotion]

I couldn't find any information in the docs regarding how weighted samples (e.g. from SMC or importance sampling) are handled. Should weights be stored as part of the sample_stats?

[sethaxen]

ArviZ packages don't have great support for weighted samples yet, so the schema doesn't yet specify how weights should be stored. But the discussion at arviz-devs/arviz#2035 is indeed leaning in the direction of adding weights to sample_stats.

For reference, a related discussion is how one should handle multidimensional (log-)weights, since StatsBase.AbstractWeights currently can just be vectors, see JuliaStats/StatsBase.jl#374, JuliaStats/StatsBase.jl#748, JuliaStats/StatsBase.jl#489