This section is focused on diagnostic samples for Metropolis and NUTS. Since we are approximating the posterior with a finite number of samples, is important to check whether we have a valid sample—otherwise any analysis from it will be totally flawed. There are several tests we can perform, some are visual and some are quantitative. These tests are designed to spot problems with our samples, but they are unable to prove we have the correct distribution; they can only provide evidence that the sample seems reasonable. If we find problems with the sample, the are many solutions to try:
- Increase the number of samples.
- Remove a number of samples from the beginning of the trace. This is known as burn-in. The PyMC3 tuning phase helps reduce the need for burn-in.
- Modify sampler parameters, such as increasing the length of the tuning phase, or increase...
