PSIS

Pareto smoothed importance sampling (PSIS) and PSIS leave-one-out cross-validation reference code

Introduction

These files implement Pareto smoothed importance sampling (PSIS) and PSIS leave-one-out cross-validation for Julia base in the Matlab package called PSIS by Aki Vehtari

Corresponding R code

The corresponding R code can be found in R package called `loo' which is also available in CRAN.

References

• Aki Vehtari, Andrew Gelman and Jonah Gabry (2016). Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. Statistics and Computing, doi:10.1007/s11222-016-9696-4. arXiv preprint arXiv:1507.04544
• Aki Vehtari, Andrew Gelman and Jonah Gabry (2016). Pareto smoothed importance sampling. arXiv preprint arXiv:1507.02646
• Jin Zhang & Michael A. Stephens (2009) A New and Efficient Estimation Method for the Generalized Pareto Distribution, Technometrics, 51:3, 316-325, DOI: 10.1198/tech.2009.08017