brms: loo.brmsfit – R documentation

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loo.brmsfit

Efficient approximate leave-one-out cross-validation (LOO)

Description

Perform approximate leave-one-out cross-validation based on the posterior likelihood using the loo package. For more details see loo.

Usage

## S3 method for class 'brmsfit'
loo(
  x,
  ...,
  compare = TRUE,
  resp = NULL,
  pointwise = FALSE,
  moment_match = FALSE,
  reloo = FALSE,
  k_threshold = 0.7,
  save_psis = FALSE,
  moment_match_args = list(),
  reloo_args = list(),
  model_names = NULL
)

Arguments

`x`	A `brmsfit` object.
`...`	More `brmsfit` objects or further arguments passed to the underlying post-processing functions. In particular, see `prepare_predictions` for further supported arguments.
`compare`	A flag indicating if the information criteria of the models should be compared to each other via `loo_compare`.
`resp`	Optional names of response variables. If specified, predictions are performed only for the specified response variables.
`pointwise`	A flag indicating whether to compute the full log-likelihood matrix at once or separately for each observation. The latter approach is usually considerably slower but requires much less working memory. Accordingly, if one runs into memory issues, `pointwise = TRUE` is the way to go.
`moment_match`	Logical; Indicate whether `loo_moment_match` should be applied on problematic observations. Defaults to `FALSE`.
`reloo`	Logical; Indicate whether `reloo` should be applied on problematic observations. Defaults to `FALSE`.
`k_threshold`	The threshold at which pareto k estimates are treated as problematic. Defaults to `0.7`. Only used if argument `reloo` is `TRUE`. See `pareto_k_ids` for more details.
`save_psis`	Should the `"psis"` object created internally be saved in the returned object? For more details see `loo`.
`moment_match_args`	Optional `list` of additional arguments passed to `loo_moment_match`.
`reloo_args`	Optional `list` of additional arguments passed to `reloo`.
`model_names`	If `NULL` (the default) will use model names derived from deparsing the call. Otherwise will use the passed values as model names.

Details

See loo_compare for details on model comparisons. For brmsfit objects, LOO is an alias of loo. Use method add_criterion to store information criteria in the fitted model object for later usage.

Value

If just one object is provided, an object of class loo. If multiple objects are provided, an object of class loolist.

References

Vehtari, A., Gelman, A., & Gabry J. (2016). Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. In Statistics and Computing, doi:10.1007/s11222-016-9696-4. arXiv preprint arXiv:1507.04544.

Gelman, A., Hwang, J., & Vehtari, A. (2014). Understanding predictive information criteria for Bayesian models. Statistics and Computing, 24, 997-1016.

Watanabe, S. (2010). Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory. The Journal of Machine Learning Research, 11, 3571-3594.

Examples

## Not run: 
# model with population-level effects only
fit1 <- brm(rating ~ treat + period + carry,
            data = inhaler)
(loo1 <- loo(fit1))

# model with an additional varying intercept for subjects
fit2 <- brm(rating ~ treat + period + carry + (1|subject),
            data = inhaler)
(loo2 <- loo(fit2))   

# compare both models
loo_compare(loo1, loo2)                      

## End(Not run)

brms

Bayesian Regression Models using 'Stan'

v2.15.0

GPL-2

Authors

Paul-Christian Bürkner [aut, cre], Jonah Gabry [ctb], Sebastian Weber [ctb], Andrew Johnson [ctb], Martin Modrak [ctb]

Initial release

2021-03-10