MCMCChains.jl
MCMCChains.jl copied to clipboard
Add model selection tools
MCMCChains could use some model selection tools, like
- [x] Leave-one-out cross-validation
- [ ] BIC
- [ ] WAIC
Further recommendations are welcome, I'll add them to the list as they arrive.
Of interest on LOO etc might be http://www.jmlr.org/papers/volume11/watanabe10a/watanabe10a.pdf .
In the mean-time: https://arviz-devs.github.io/ArviZ.jl/dev/quickstart/#Additional-information-in-Turing.jl
Implemented LOO-CV here. Feel free to import and reexport it.
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