Information_criterion for MCMC model

Misc.
1

Trying to run mcmc.information_criterion() (see for instance the tutorial Chapter 8. Markov Chain Monte Carlo | Statistical Rethinking with PyTorch and Pyro), I get an "AttributeError: 'MCMC' object has no attribute 'information_criterion'".
Is it possible in the current version of Pyro (1.1.0) to use information_criterion() for a pyro.infer.mcmc.api.MCMC object? It does not seem to me from the documentation.

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Hi @vincentbt, this functionality has been dropped for a while. I’ll let you know when something like that can be achieved (probably through another package such as arviz).

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@vincentbt After this PR merged, you can use ArviZ to get many information criterion stats:

# after run mcmc
pyro_data = az.from_pyro(mcmc)
az.stats.waic(pyro_data)
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