Efficient approximate leave-one-out cross-validation (LOO) using 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. We also compute the widely applicable information criterion (WAIC).
|Author||Aki Vehtari [aut], Andrew Gelman [aut], Jonah Gabry [cre, aut], Juho Piironen [ctb], Ben Goodrich [ctb]|
|Date of publication||2017-03-27 15:21:52 UTC|
|Maintainer||Jonah Gabry <email@example.com>|
|License||GPL (>= 3)|
|Package repository||View on CRAN|
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