feat(gh-2142): add VSBC diagnostic#2170
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michaelellis003 wants to merge 2 commits intopyro-ppl:masterfrom
Open
feat(gh-2142): add VSBC diagnostic#2170michaelellis003 wants to merge 2 commits intopyro-ppl:masterfrom
michaelellis003 wants to merge 2 commits intopyro-ppl:masterfrom
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Summary
Implements the VSBC diagnostic requested in #2142.
This follows Yao et al. (2018), Section 3 / Algorithm 2: simulate datasets from the prior predictive, fit a variational approximation for each dataset, estimate marginal calibration probabilities, and test symmetry of
pvs1 - pwith a two-sample KS test.Changes
vsbc_diagnosticinnumpyro/infer/calibration.pyvsbc_diagnosticfromnumpyro.infertest/infer/test_calibration.pysimulated_data_to_argsReferences
Fixes #2142