rstanarm (version 2.21.1)

loo_predict.stanreg: Compute weighted expectations using LOO

Description

These functions are wrappers around the E_loo function (loo package) that provide compatibility for rstanarm models.

Usage

# S3 method for stanreg
loo_predict(
  object,
  type = c("mean", "var", "quantile"),
  probs = 0.5,
  ...,
  psis_object = NULL
)
# S3 method for stanreg
loo_linpred(
  object,
  type = c("mean", "var", "quantile"),
  probs = 0.5,
  transform = FALSE,
  ...,
  psis_object = NULL
)
# S3 method for stanreg
loo_predictive_interval(object, prob = 0.9, ..., psis_object = NULL)

Arguments

object

A fitted model object returned by one of the rstanarm modeling functions. See stanreg-objects.

type

The type of expectation to compute. The options are "mean", "variance", and "quantile".

probs

For computing quantiles, a vector of probabilities.

...

Currently unused.

psis_object

An object returned by psis. If missing then psis will be run internally, which may be time consuming for models fit to very large datasets.

transform

Passed to posterior_linpred.

prob

For loo_predictive_interval, a scalar in \((0,1)\) indicating the desired probability mass to include in the intervals. The default is prob=0.9 (\(90\)% intervals).

Value

A list with elements value and pareto_k.

For loo_predict and loo_linpred the value component is a vector with one element per observation.

For loo_predictive_interval the value component is a matrix with one row per observation and two columns (like predictive_interval). loo_predictive_interval(..., prob = p) is equivalent to loo_predict(..., type = "quantile", probs = c(a, 1-a)) with a = (1 - p)/2, except it transposes the result and adds informative column names.

See E_loo and pareto-k-diagnostic for details on the pareto_k diagnostic.

References

Vehtari, A., Gelman, A., and Gabry, J. (2017). 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. arXiv preprint: http://arxiv.org/abs/1507.04544/

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).

Gabry, J. , Simpson, D. , Vehtari, A. , Betancourt, M. and Gelman, A. (2019), Visualization in Bayesian workflow. J. R. Stat. Soc. A, 182: 389-402. doi:10.1111/rssa.12378, (journal version, arXiv preprint, code on GitHub)

Examples

# NOT RUN {
if (!exists("example_model")) example(example_model)

# optionally, log-weights can be pre-computed and reused
psis_result <- loo::psis(log_ratios = -log_lik(example_model))

loo_probs <- loo_linpred(example_model, type = "mean", transform = TRUE, psis_object = psis_result)
str(loo_probs)

loo_pred_var <- loo_predict(example_model, type = "var", psis_object = psis_result)
str(loo_pred_var)

loo_pred_ints <- loo_predictive_interval(example_model, prob = 0.8, psis_object = psis_result)
str(loo_pred_ints)
# }
# NOT RUN {
# }