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loo (version 2.2.0)

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

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) . 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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Version

Install

install.packages('loo')

Monthly Downloads

52,282

Version

2.2.0

License

GPL (>= 3)

Maintainer

Jonah Gabry

Last Published

December 19th, 2019

Functions in loo (2.2.0)

ap_psis

Pareto smoothed importance sampling (PSIS) using approximate posteriors
loo-package

Efficient LOO-CV and WAIC for Bayesian models
kfold-helpers

Helper functions for K-fold cross-validation
kfold-generic

Generic function for K-fold cross-validation for developers
nobs.psis_loo_ss

The number of observations in a psis_loo_ss object.
loo-glossary

LOO package glossary
print_dims

Print dimensions of log-likelihood or log-weights matrix
loo-datasets

Datasets for loo examples and vignettes
print.loo

Print methods
nlist

Named lists
importance_sampling.default

Importance sampling (default)
loo_approximate_posterior

Efficient approximate leave-one-out cross-validation (LOO) for posterior approximations
loo

Efficient approximate leave-one-out cross-validation (LOO)
weights.importance_sampling

Pareto smoothed importance sampling (PSIS)
loo_model_weights

Model averaging/weighting via stacking or pseudo-BMA weighting
loo_subsample

Efficient approximate leave-one-out cross-validation (LOO) using subsampling
importance_sampling.matrix

Importance sampling of matrices
psis_approximate_posterior

Diagnostics for Laplace and ADVI approximations and Laplace-loo and ADVI-loo
sis

Standard importance sampling (SIS)
tis

Truncated importance sampling (TIS)
loo_compare

Model comparison
importance_sampling

A parent class for different importance sampling methods.
importance_sampling.array

Importance sampling of array
obs_idx

Get observation indices used in subsampling
old-extractors

Extractor methods
update.psis_loo_ss

Update psis_loo_ss objects
parallel_psis_list

Parallel psis list computations
pareto-k-diagnostic

Diagnostics for Pareto smoothed importance sampling (PSIS)
psislw

Pareto smoothed importance sampling (deprecated, old version)
waic

Widely applicable information criterion (WAIC)
relative_eff

Convenience function for computing relative efficiencies
gpdfit

Estimate parameters of the Generalized Pareto distribution
extract_log_lik

Extract pointwise log-likelihood from a Stan model
compare

Model comparison (deprecated, old version)
.compute_point_estimate

Compute a point estimate from a draws object
E_loo

Compute weighted expectations
example_loglik_array

Objects to use in examples and tests
.ndraws

The number of posterior draws in a draws object.
find_model_names

Find the model names associated with "loo" objects
.thin_draws

Thin a draws object