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This PR addresses #810.
I marked some TODOs for future PRs (when NumPyro MCMC object stores model arguments/keywords for the purpose of extracting log_likelihoods, observed_data). Currently, users need to use numpyro.handlers, which is not handy, to obtain these informations.
~Currently, the names of sample stats in NumPyro are:
potential_energy
num_steps
(which can be converted to tree depth by using np.log2 function)accept_prob
mean_accept_prob
(mean acceptance probability until current iteration during warmup adaptation or sampling)diverging
adapt_state.step_size
adapt_state.inverse_mass_matrix
Do I need to rename those fields in
sample_stats_to_xarray
function to match arviz conventions?~Resolution: rename fields to match PyMC3 stat names.