Quadratic approximation of posterior distribution using StanOptimize
Author StanJulia
0 Stars
Updated Last
1 Year Ago
Started In
February 2021


Lifecycle Build Status

Purpose of package

This package is created to simplify the usage of quadratic approximations in StatisticalRethinking.jl.

As such, it is intended for initial learning purposes.

Many better (and certainly more efficient!) ways of obtaining a quadratic approximation to the posterior distribution are available in Julia (and demonstrated in the project StatisticalRethinkingStan.jl) but none used a vanilla Stan Language program as used in Statistical Rethinking.


Once this package is registered, install with

pkg> add StanQuap.jl

You need a working Stan's cmdstan installation, the path of which you should specify in JULIA_CMDSTAN_HOME, eg in your ~/.julia/config/startup.jl have a line like

# CmdStan setup
ENV["JULIA_CMDSTAN_HOME"] = expanduser("~/src/cmdstan-2.19.1/") # replace with your path

It is recommended that you start your Julia process with multiple worker processes to take advantage of parallel sampling, eg

julia -p auto