From 82bd6829a60162816386132c6b9b1b174ce3db04 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Mon, 13 Mar 2023 15:20:57 -0400 Subject: [PATCH] manual: add guidance on number of draws in slice sampler --- doc/manual/source/the-model-file.rst | 11 +++++++++++ 1 file changed, 11 insertions(+) diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst index 9b6618b06..1b4a76ad2 100644 --- a/doc/manual/source/the-model-file.rst +++ b/doc/manual/source/the-model-file.rst @@ -7259,6 +7259,17 @@ observed variables. Ratto, and Rossi (2015)*. Note that ``'slice'`` is incompatible with ``prior_trunc=0``. + Whereas one Metropolis-Hastings iteration requires one + evaluation of the posterior, one slice iteration requires :math:`neval` + evaluations, where as a rule of thumb :math:`neval=7\times npar` with + :math:`npar` denoting the number of estimated parameters. Spending + the same computational budget of :math:`N` posterior evaluations in the + slice sampler then implies setting ``mh_replic=N/neval``. + + Note that the slice sampler will typically return less autocorrelated Monte Carlo Markov + Chain draws than the MH-algorithm. Its relative (in)efficiency can be investigated via + the reported inefficiency factors. + .. option:: posterior_sampler_options = (NAME, VALUE, ...) A list of NAME and VALUE pairs. Can be used to set options for