loo

swMATH19420CRANlooMaRDI QIDQ31247

Efficient Leave-One-Out Cross-Validation and WAIC for Bayesian Models

Topi Paananen, Paul-Christian Bürkner, Yuling Yao, Andrew Gelman, Jonah Gabry, Mans Magnusson, Aki Vehtari

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

Description

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.

Cites work

• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC

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