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) <doi:10.1007/s11222-016-9696-4>. 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.
| Version: | 2.3.1 |
| Depends: | R (≥ 3.1.2) |
| Imports: | checkmate, matrixStats (≥ 0.52), parallel, stats |
| Suggests: | bayesplot (≥ 1.7.0), brms (≥ 2.10.0), ggplot2, graphics, knitr, rmarkdown, rstan, rstanarm (≥ 2.19.0), rstantools, spdep, testthat (≥ 2.1.0) |
| Published: | 2020-07-14 |
| Author: | Aki Vehtari [aut], Jonah Gabry [cre, aut], Mans Magnusson [aut], Yuling Yao [aut], Paul-Christian Bürkner [aut], Topi Paananen [aut], Andrew Gelman [aut], Ben Goodrich [ctb], Juho Piironen [ctb] |
| Maintainer: | Jonah Gabry <jsg2201 at columbia.edu> |
| BugReports: | https://github.com/stan-dev/loo/issues |
| License: | GPL (≥ 3) |
| URL: | https://mc-stan.org/loo, https://discourse.mc-stan.org |
| NeedsCompilation: | no |
| SystemRequirements: | pandoc (>= 1.12.3), pandoc-citeproc |
| Citation: | loo citation info |
| Materials: | NEWS |
| CRAN checks: | loo results |
| Reference manual: | loo.pdf |
| Vignettes: |
Using the loo package Using Leave-one-out cross-validation for large data Approximate leave-future-out cross-validation for Bayesian time series models Avoiding model refits in leave-one-out cross-validation with moment matching Leave-one-out cross-validation for non-factorized models Bayesian Stacking and Pseudo-BMA weights Writing Stan programs for use with the loo package |
| Package source: | loo_2.3.1.tar.gz |
| Windows binaries: | r-devel: loo_2.3.1.zip, r-release: loo_2.3.1.zip, r-oldrel: loo_2.3.1.zip |
| macOS binaries: | r-release: loo_2.3.1.tgz, r-oldrel: loo_2.3.1.tgz |
| Old sources: | loo archive |
| Reverse depends: | evidence, spsurv |
| Reverse imports: | BAMBI, bayesbr, bayesdfa, beanz, blavaan, brms, glmmfields, hBayesDM, hsstan, mcp, missingHE, MixSIAR, pcFactorStan, projpred, publipha, rmsb, rstan, rstanarm, rstap, rtmpt |
| Reverse suggests: | bayesplot, bayesvl, CopulaDTA, multinma, performance |
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