Add plot for distribution of convergence diagnostics #105
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I don't have a good name for this plot so its code name is
plot_nose
. The motivation is to visually inspect the values of ESS and R-hat for many variables.In PyMC-BART we have a plot_convergence function that generates a similar plot, which we used to check the "BART variables" which are always multidimensional with a size at least equal to the observations. The interest is not on any individual variables. This type of plot may be of interest to others outside of PyMC-BART.
I feel tempted to call "rhat_rank" just "rhat". What do you think?
specific diagnostics can be passed as strings.
some ess methods accept a prob argument, we can pass it also as part of the string, like a "tuple"
We could also add reference lines for ESS and r-hat following standard recommendations(added). For PyMC-BART, we have an "inflated" R-hat reference value. We use a heuristics to increase the 1.01 value based on the number of variables. Not saying we should use that heuristic, just saying we may want to have something similar.📚 Documentation preview 📚: https://arviz-plots--105.org.readthedocs.build/en/105/