R: Efficient LOO-CV and WAIC for Bayesian models

loo-package {loo} | R Documentation

## Efficient LOO-CV and WAIC for Bayesian models

### Description

Stan Development Team

This package implements the methods described in Vehtari, Gelman, and Gabry (2017a, 2017b) and Yao et al. (2018). To get started see the `loo` function for efficient approximate leave-one-out cross-validation (LOO-CV), the `psis` function for the Pareto smoothed importance sampling (PSIS) algorithm, or `loo_model_weights` for an implementation of Bayesian stacking of predictive distributions from multiple models.

### Details

Leave-one-out cross-validation (LOO-CV) and the widely applicable information criterion (WAIC) are methods for estimating pointwise out-of-sample prediction accuracy from a fitted Bayesian model using the log-likelihood evaluated at the posterior simulations of the parameter values. LOO-CV and WAIC have various advantages over simpler estimates of predictive error such as AIC and DIC but are less used in practice because they involve additional computational steps. This package implements the fast and stable computations for approximate LOO-CV laid out in Vehtari, Gelman, and Gabry (2017a). From existing posterior simulation draws, we compute LOO-CV using Pareto smoothed importance sampling (PSIS; Vehtari, Gelman, and Gabry, 2017b), a new procedure for regularizing and diagnosing importance weights. As a byproduct of our calculations, we also obtain approximate standard errors for estimated predictive errors and for comparing of predictive errors between two models.

We recommend PSIS-LOO-CV instead of WAIC, because PSIS provides useful diagnostics and effective sample size and Monte Carlo standard error estimates.

### References

Vehtari, A., Gelman, A., and Gabry, J. (2017a). Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. Statistics and Computing. 27(5), 1413–1432. doi:10.1007/s11222-016-9696-4. (published version, arXiv preprint).

Vehtari, A., Gelman, A., and Gabry, J. (2017b). Pareto smoothed importance sampling. arXiv preprint: http://arxiv.org/abs/1507.02646/

Yao, Y., Vehtari, A., Simpson, D., and Gelman, A. (2018) Using stacking to average Bayesian predictive distributions. Bayesian Analysis, advance publication, doi:10.1214/17-BA1091. (online).

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Stan Development Team (2017). The Stan C++ Library, Version 2.17.0. http://mc-stan.org.

Stan Development Team (2018). RStan: the R interface to Stan, Version 2.17.3. http://mc-stan.org.

Watanabe, S. (2010). Asymptotic equivalence of Bayes cross validation and widely application information criterion in singular learning theory. Journal of Machine Learning Research 11, 3571-3594.

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[Package loo version 2.0.0 Index]