loo.clmstan: Leave-One-Out Cross-Validation for clmstan objects

Description

Computes approximate leave-one-out cross-validation (LOO-CV) for a fitted cumulative link model using Pareto smoothed importance sampling (PSIS).

Usage

# S3 method for clmstan
loo(x, ..., r_eff = NULL, cores = getOption("mc.cores", 1), save_psis = FALSE)

Value

An object of class c("psis_loo", "loo") containing:

estimates: A matrix with columns Estimate and SE for elpd_loo, p_loo, and looic.
pointwise: A matrix with pointwise contributions.
diagnostics: A list with Pareto k values and effective sample sizes for each observation.

Arguments

x: A clmstan object returned by clm_stan.
...: Additional arguments passed to loo.
r_eff: A vector of relative effective sample sizes for each observation, or NULL (default) to compute them automatically using relative_eff. Set to NA to skip r_eff computation (faster but diagnostics may be over-optimistic).
cores: The number of cores to use for parallel computation. Defaults to getOption("mc.cores", 1).
save_psis: If TRUE, the PSIS object is saved in the returned object. This is required for some downstream functions like E_loo(). Default is FALSE.

Details

The function extracts the log-likelihood matrix (log_lik) computed in the generated quantities block of the Stan model and passes it to loo.

Pareto k diagnostics: Observations with high Pareto k values (k > 0.7) indicate potential problems with the LOO approximation for those observations. Use plot() on the returned object to visualize the Pareto k values.

Model comparison: Use loo_compare to compare multiple models. Models with higher elpd_loo are preferred.

Examples

Run this code

if (FALSE) {
fit <- clm_stan(rating ~ temp, data = wine)
loo_result <- loo(fit)
print(loo_result)
plot(loo_result)

# Compare two models
fit1 <- clm_stan(rating ~ temp, data = wine, link = "logit")
fit2 <- clm_stan(rating ~ temp, data = wine, link = "probit")
loo::loo_compare(loo(fit1), loo(fit2))
}