SampleChains

julia> chains
3003-element MultiChain with 3 chains and schema (σ = Float64, α = Float64, β = Vector{Float64})
(σ = 0.9±0.88, α = -5.1±10.0, β = [-0.0±0.9, 0.04±0.99, 0.04±1.1, 0.02±0.92, 0.06±0.95])

Some features (many still in progress):

• Simple visual representation
• "Samples first", though diagnostic information is easily available
• Each Chain can be indexed as a Vector, or as a NamedTuple
• Interrupting (CTRL-C) returns the current chain, including iterator information so work can be resumed
• Built on ElasticArrays to make it easy to add new samples after the fact
• Adaptable to many different sampling algorithms, including with or without (log-)weights
• Easy summarization functions: expectations per-dimension quantiles, etc

In progress:

• More back-ends (currently just DynamicHMC, using SampleChainsDynamicHMC)
• Diagnostic warnings during sampling
• Callbacks for plotting, etc
• Sample count based on desired standard error of a specified expected value
• Summarization by different functions
  • Highest posterior density intervals
  • R-hat statistics