loo
swMATH19420CRANlooMaRDI QIDQ31247FDOQ31247
Efficient Leave-One-Out Cross-Validation and WAIC for Bayesian Models
Aki Vehtari, Topi Paananen, Paul-Christian Bürkner, Yuling Yao, Andrew Gelman, Jonah Gabry, Mans Magnusson
Last update: 24 February 2024
Copyright license: GNU General Public License
Software version identifier: 2.6.0, 0.1.0, 0.1.2, 0.1.3, 0.1.4, 0.1.5, 0.1.6, 1.0.0, 1.1.0, 2.0.0, 2.1.0, 2.2.0, 2.3.0, 2.3.1, 2.4.0, 2.4.1, 2.5.0, 2.5.1, 2.7.0
Source code repository: https://github.com/cran/loo
Efficient approximate leave-one-out cross-validation (LOO) for Bayesian models fit using Markov chain Monte Carlo, as described in Vehtari, Gelman, and Gabry (2017) <doi:10.1007/s11222-016-9696-4>. The approximation uses Pareto smoothed importance sampling (PSIS), a new procedure for regularizing importance weights. As a byproduct of the calculations, we also obtain approximate standard errors for estimated predictive errors and for the comparison of predictive errors between models. The package also provides methods for using stacking and other model weighting techniques to average Bayesian predictive distributions.
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