basic_ess needed for mcse

src/stan/analyze/mcmc/split_rank_normalized_ess.hpp

@@ -103,15 +103,16 @@ double ess(const Eigen::MatrixXd& chains) {
 /**
  * Computes the split effective sample size (split ESS) using rank based
  * diagnostic for a set of per-chain draws. Based on paper
- * https://arxiv.org/abs/1903.08008
+ * https://arxiv.org/abs/1903.08008   Computes bulk ESS over entire sample,
+ * and tail ESS over the 0.05 and 0.95 quantiles.
  *
  * When the number of total draws N is odd, the last draw is ignored.
  *
  * See more details in Stan reference manual section "Potential
  * Scale Reduction". http://mc-stan.org/users/documentation
 
  * @param chains matrix of per-chain draws, num_iters X chain
- * @return potential scale reduction
+ * @return pair ESS_bulk, ESS_tail
  */
 inline std::pair<double, double> split_rank_normalized_ess(
     const Eigen::MatrixXd& chains) {
@@ -142,6 +143,28 @@ inline std::pair<double, double> split_rank_normalized_ess(
   return std::make_pair(ess_bulk, ess_tail);
 }
 
+/**
+ * Computes the split effective sample size (split ESS) 
+ * diagnostic for a set of per-chain draws.
+ *
+ * When the number of total draws N is odd, the last draw is ignored.
+ *
+ * See more details in Stan reference manual section "Potential
+ * Scale Reduction". http://mc-stan.org/users/documentation
+
+ * @param chains matrix of per-chain draws, num_iters X chain
+ * @return potential scale reduction
+ */
+inline double split_basic_ess(
+    const Eigen::MatrixXd& chains) {
+  Eigen::MatrixXd split_draws_matrix = split_chains(chains);
+  if (!is_finite_and_varies(split_draws_matrix)
+      || split_draws_matrix.rows() < 4) {
+    return std::numeric_limits<double>::quiet_NaN();
+  }
+  return ess(split_draws_matrix);
+}
+
 }  // namespace analyze
 }  // namespace stan
 

src/stan/io/stan_csv_reader.hpp

@@ -377,7 +377,7 @@ class stan_csv_reader {
 
     if (!read_samples(in, data.samples, data.timing)) {
       if (out)
-        *out << "Unable to parse sample" << std::endl;
+        *out << "no draws found" << std::endl;
     }
     return data;
   }

src/stan/mcmc/chainset.hpp

@@ -420,8 +420,8 @@ class chainset {
    * @return pair (bulk_ess, tail_ess)
    */
   double mcse_mean(const int index) const {
-    double ess_bulk = analyze::split_rank_normalized_ess(samples(index)).first;
-    return sd(index) / std::sqrt(ess_bulk);
+    double ess_basic = analyze::split_basic_ess(samples(index));
+    return sd(index) / std::sqrt(ess_basic);
   }
 
   /**