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extrememix (version 0.0.1)

WAIC: Widely Applicable Information Criteria

Description

Computation of the WAIC for an extreme value mixture model.

Usage

WAIC(x, ...)

# S3 method for evmm WAIC(x, ...)

Value

The WAIC of a model estimated with extrememix

Arguments

x

the output of a model estimated with extrememix.

...

additional arguments for compatibility.

Details

Consider a dataset \(y=(y_1,\dots,y_n)\), \(p(y|\theta)\) the likelihood of a parametric model with parameter \(\theta\), and \((\theta^{(1)},\dots,\theta^{(S)})\) a sample from the posterior distribution \(p(\theta|y)\). Define $$\textnormal{llpd} = \sum_{i=1}^n \log\left(\sum_{i=1}^Sp(y_i|\theta^{(s)}\right)$$ and $$p_\textnormal{WAIC} = \sum_{i=1}^n Var_{\theta|y}(\log p(y_i|\theta)).$$ Then the Widely Applicable Information Criteria is defined as $$WAIC = -2\textnormal{llpd} + 2p_\textnormal{WAIC}.$$ Models with a smaller WAIC are favored.

References

Gelman, Andrew, Jessica Hwang, and Aki Vehtari. "Understanding predictive information criteria for Bayesian models." Statistics and computing 24.6 (2014): 997-1016.

Watanabe, Sumio. "A widely applicable Bayesian information criterion." Journal of Machine Learning Research 14.Mar (2013): 867-897.

See Also

DIC

Examples

Run this code
WAIC(rainfall_ggpd)

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