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Add model selection tools

Open cpfiffer opened this issue 5 years ago • 4 comments

MCMCChains could use some model selection tools, like

Further recommendations are welcome, I'll add them to the list as they arrive.

cpfiffer avatar Apr 14 '19 05:04 cpfiffer

Of interest on LOO etc might be http://www.jmlr.org/papers/volume11/watanabe10a/watanabe10a.pdf .

goedman avatar Apr 15 '19 13:04 goedman

In the mean-time: https://arviz-devs.github.io/ArviZ.jl/dev/quickstart/#Additional-information-in-Turing.jl

torfjelde avatar Oct 20 '20 05:10 torfjelde

Implemented LOO-CV here. Feel free to import and reexport it.

ParadaCarleton avatar Jul 22 '21 18:07 ParadaCarleton

Also related to LOO CV is Conditional Predictive Ordinates (CPO). See slides 19 - 24 in the link below:

http://webpages.math.luc.edu/~ebalderama/myfiles/modelchecking101_pres.pdf

luiarthur avatar Jul 22 '21 19:07 luiarthur