waic {loo}R Documentation

Widely applicable information criterion (WAIC)

Description

The waic() methods can be used to compute WAIC from the pointwise log-likelihood. However, we recommend LOO-CV using PSIS (as implemented by the loo() function) because PSIS provides useful diagnostics as well as effective sample size and Monte Carlo estimates.

Usage

waic(x, ...)

## S3 method for class 'array'
waic(x, ...)

## S3 method for class 'matrix'
waic(x, ...)

## S3 method for class ''function''
waic(x, ..., data = NULL, draws = NULL)

is.waic(x)

Arguments

x

A log-likelihood array, matrix, or function. The Methods (by class) section, below, has detailed descriptions of how to specify the inputs for each method.

draws, data, ...

For the function method only. See the Methods (by class) section below for details on these arguments.

Value

A named list (of class c("waic", "loo")) with components:

estimates

A matrix with two columns ("Estimate", "SE") and three rows ("elpd_waic", "p_waic", "waic"). This contains point estimates and standard errors of the expected log pointwise predictive density (elpd_waic), the effective number of parameters (p_waic) and the information criterion waic (which is just -2 * elpd_waic, i.e., converted to deviance scale).

pointwise

A matrix with three columns (and number of rows equal to the number of observations) containing the pointwise contributions of each of the above measures (elpd_waic, p_waic, waic).

Methods (by class)

References

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

Vehtari, A., Gelman, A., and Gabry, J. (2017a). 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 (journal version, preprint arXiv:1507.04544).

Vehtari, A., Simpson, D., Gelman, A., Yao, Y., and Gabry, J. (2019). Pareto smoothed importance sampling. preprint arXiv:1507.02646

See Also

Examples

### Array and matrix methods
LLarr <- example_loglik_array()
dim(LLarr)

LLmat <- example_loglik_matrix()
dim(LLmat)

waic_arr <- waic(LLarr)
waic_mat <- waic(LLmat)
identical(waic_arr, waic_mat)


## Not run: 
log_lik1 <- extract_log_lik(stanfit1)
log_lik2 <- extract_log_lik(stanfit2)
(waic1 <- waic(log_lik1))
(waic2 <- waic(log_lik2))
print(compare(waic1, waic2), digits = 2)

## End(Not run)


[Package loo version 2.4.1 Index]