Autoregressive Model

[RavinKumar]

Hi,
I know its been over a year so maybe this answer isn’t as useful but posting here for posterity’s sake. Those are MCMC sampler diagnostics that are warning that the sampler may have run into some trouble. This other thread provides more clarification as to how to interpret the messages.

The number of effective samples is smaller than 25% for some parameters

The low number of effective samples is usually an indication of strong autocorrelation in the chain. You can plot the trace autocorrelation or look at the trace plot directly. Usually, this could be improved by using more efficient sampler like NUTS. However, in this case since you are mixing discrete random variable with continuous variables, sampling is likely going to be a bit difficult. You can find more information about effective sample size from Gelman et al’s book Bayesian Data Analysi…