I recently ran a model with this output:
[1] "110 of 4000 iterations saturated the maximum tree depth of 10 (2.75%)" [1] "Run again with max_depth set to a larger value to avoid saturation" I don't have a sense of whether this is high or low. What is a good number of tree depth saturations?
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In No-U-Turn-Sampler a maximum tree depth of 10 is a sensible default, but occasionally you have to increase it. In my experience not usually by much. I might try 12 next and I have never had to go beyond 15, so far. As it increases computation time, it is not a good trade-off to make it higher by default – unless you always run into this problem in a certain model. Of course, it could also be a hint that a alternative parametrization might be preferable.
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