Construct · 1 fields · 1 citations

Pareto smoothed importance sampling: a standalone construct

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Pareto smoothedimportance sampling1 CONSTRUCTPareto smoothedVEHTARI · BAYESIAN STATISTICS

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Bayesian statistics

an approximation to leave-one-out cross-validation that stabilizes importance weights by fitting a generalized Pareto tail, with the tail shape flagging unreliable points.

In Bayesian statistics, Pareto smoothed importance sampling refers to an approximation to leave-one-out cross-validation that stabilizes importance weights by fitting a generalized Pareto tail, with the tail shape flagging unreliable points. This meaning comes from Vehtari (2016) in Statistics and Computing.[1]

Unit
Recovery means
Measured by

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Nearby constructs

WAIC1 fields · 1 citationsanchor · a standalone constructcross-validation1 fields · 3 citationsanchor · a standalone constructtail2 fields · 2 citationsjingle · one word, two constructs

References

  1. Vehtari, A., Gelman, A., & Gabry, J. (2016). Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. Statistics and Computing, 27(5), 1413-1432. https://doi.org/10.1007/s11222-016-9696-4

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