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Show every 2D density plot for an n-dimensional dataset. Especially useful for diagnosing MCMC sampling.

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cornerplot

cornerplot takes a nSamples-by-nDimensions array, and makes density plots of every combination of the dimensions, and histograms for each dimension. This is especially useful when using MCMC; you can see how the parameters in your model interact, and whether there are any tradeoffs between them.

Inspired by corner.py by Dan Foreman-Mackey.

Usage

You can obtain a plot like that pictured to the left with cornerplot(randn(500, 3)).








You can also label parameters and mark true parameter values, as in cornerplot(randn(500, 3), {'a', 'b', 'c'}, randn(1, 3)).







Installation

Just put cornerplot.m in your MATLAB path. You also need to install the free kernel density estimator kde2d by Zdravko Botev.

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Show every 2D density plot for an n-dimensional dataset. Especially useful for diagnosing MCMC sampling.

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