loo (version 0.1.3)

waic: Widely applicable information criterion (WAIC)

Description

Widely applicable information criterion (WAIC)

Usage

waic(x, ...)
## S3 method for class 'matrix':
waic(x, ...)
## S3 method for class 'function':
waic(x, ..., args)

Arguments

x

A log-likelihood matrix or function. See the Methods (by class) section below for a detailed description.

...

Other arguments. Currently ignored.

args

Only required if x is a function. A list containing the data required to specify the arguments to the function. See the Methods (by class) section below for how args should be specified.

Value

• A named list (of class 'loo') with components:

  [object Object],[object Object],[object Object],[object Object]

Methods (by class)

• matrix: An$S$by$N$matrix, where$S$is the size of the posterior sample (the number of simulations) and$N$is the number of data points. Typically (but not restricted to be) the object returned byextract_log_lik.
• function: A function$f$that takes argumentsi,data, anddrawsand returns a vector containing the log-likelihood for theith observation evaluated at each posterior draw.

  Theargsargument must also be specified and should be a named list with the following components:

  • draws: An object containing the posterior draws for any parameters needed to compute the pointwise log-likelihood.
  • data: An object containing data (e.g. observed outcome and predictors) needed to compute the pointwise log-likelihood.datashould be in an appropriate form so that$f$(i=i, data=data[i,,drop=FALSE], draws=draws)returns theS-vector of log-likelihoods for theith observation.
  • N: The number of observations.
  • S: The size of the posterior sample.

See Also

compare, print.loo, loo-package

Examples

log_lik1 <- extract_log_lik(stanfit1)
waic1 <- waic(log_lik1)
waic1

log_lik2 <- extract_log_lik(stanfit2)
waic2 <- waic(log_lik2)
print(waic2, digits = 4)

waic_diff <- compare(waic1, waic2)
print(waic_diff, digits = 2)