Add plot for distribution of convergence diagnostics

[aloctavodia]

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.

azp.plot_nose(radon, var_names=["za_county"])

I feel tempted to call "rhat_rank" just "rhat". What do you think?

specific diagnostics can be passed as strings.

azp.plot_nose(radon, var_names=["za_county"], diagnostics=["ess_tail", "ess_median"])

some ess methods accept a prob argument, we can pass it also as part of the string, like a "tuple"

azp.plot_nose(radon,
              var_names=["za_county"],
              diagnostics=["ess_tail(0.1, 0.9)", "ess_local(0.1, 0.9)", "ess_quantile(0.9)"],
              ref_line=False)

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.

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📚 Documentation preview 📚: https://arviz-plots--105.org.readthedocs.build/en/105/

[codecov-commenter]

Codecov Report

Attention: Patch coverage is 12.96296% with 47 lines in your changes missing coverage. Please review.

Project coverage is 84.67%. Comparing base (838fa5e) to head (a23d3fc).

Files with missing lines	Patch %	Lines
src/arviz_plots/plots/convergencedistplot.py	11.32%	47 Missing ⚠️

Additional details and impacted files

@@            Coverage Diff             @@
##             main     #105      +/-   ##
==========================================
- Coverage   86.03%   84.67%   -1.37%     
==========================================
  Files          24       25       +1     
  Lines        2843     2897      +54     
==========================================
+ Hits         2446     2453       +7     
- Misses        397      444      +47     

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[AlexAndorra]

I love that @aloctavodia , I think it'd be super helpful for most models, because a huge majority is highly dimensional and the classic plots don't allow you to diagnose the parameters quickly

[AlexAndorra]

Anything I can help with to merge this one @aloctavodia ?

[AlexAndorra]

Looks all good @aloctavodia , except for a typo I think. After that we can merge

[AlexAndorra]

Shouldn't this be azp.plot_convergence_dist?

[aloctavodia]

Good catch! It seems I just copied and pasted another example.