Add (Kernelized) Stein discrepancy diagnostic

[rlouf]

See for instance implementation in https://github.com/albcab/TESS/blob/master/mcmc_utils.py. It would also help with the implementation of Stein Variational Gradient Descent.

[antotocar34]

Where can I find the paper that contains details? Is it https://arxiv.org/abs/1602.03253?

[rlouf]

That’s the one. @albcab is there more?

[albcab]

https://arxiv.org/pdf/1602.03253.pdf and https://arxiv.org/pdf/1602.02964.pdf are good introduction.
https://arxiv.org/pdf/1410.2392.pdf and https://arxiv.org/pdf/1703.01717.pdf more theoretical.
https://www.cs.utexas.edu/~lqiang/PDF/ksd_short.pdf short and sweet.