https://github.com/turinglang/paretosmooth.jl

An implementation of PSIS algorithms in Julia.
https://github.com/turinglang/paretosmooth.jl

julia

Last synced: 2 months ago
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An implementation of PSIS algorithms in Julia.

• Host: GitHub
• URL: https://github.com/turinglang/paretosmooth.jl
• Owner: TuringLang
• License: mit
• Created: 2021-06-04T22:08:47.000Z (about 4 years ago)
• Default Branch: main
• Last Pushed: 2025-03-02T03:35:05.000Z (4 months ago)
• Last Synced: 2025-04-22T17:04:45.445Z (2 months ago)
• Topics: julia
• Language: Julia
• Homepage: http://turinglang.org/ParetoSmooth.jl/
• Size: 3.46 MB
• Stars: 21
• Watchers: 10
• Forks: 13
• Open Issues: 18
• Metadata Files:
  • Readme: README.md
  • License: LICENSE
  • Citation: CITATION.bib

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README

        
# ParetoSmooth

[![Stable](https://img.shields.io/badge/docs-stable-blue.svg)](https://TuringLang.github.io/ParetoSmooth.jl/stable)

[![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://TuringLang.github.io/ParetoSmooth.jl/dev)

[![Build Status](https://github.com/TuringLang/ParetoSmooth.jl/workflows/CI/badge.svg)](https://github.com/TuringLang/ParetoSmooth.jl/actions)

[![Coverage](https://codecov.io/gh/TuringLang/ParetoSmooth.jl/branch/main/graph/badge.svg)](https://codecov.io/gh/TuringLang/ParetoSmooth.jl)

[![Code Style: Blue](https://img.shields.io/badge/code%20style-blue-4495d1.svg)](https://github.com/invenia/BlueStyle)

[![ColPrac: Contributor's Guide on Collaborative Practices for Community Packages](https://img.shields.io/badge/ColPrac-Contributor's%20Guide-blueviolet)](https://github.com/SciML/ColPrac)

ParetoSmooth.jl is a Julia package for efficient approximate leave-one-out cross-validation for fitted Bayesian models. We compute LOO-CV using Pareto smoothed importance sampling (PSIS), a modification of importance sampling. More details can be found in Vehtari, Gelman, and Gabry (2017).

If you use this library, please remember to cite both:

```

@misc{ParetoSmooth.jl,

	author  = {Carlos Parada },

	title   = {ParetoSmooth.jl},

	url     = {https://github.com/TuringLang/ParetoSmooth.jl},

	version = {v0.7.1},

	year    = {2021},

	month   = {6}

}

```

and:

```

@Article{Vehtari2017,

  author={Vehtari, Aki

  and Gelman, Andrew

  and Gabry, Jonah},

  title={Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC},

  journal={Statistics and Computing},

  year={2017},

  month={Sep},

  day={01},

  volume={27},

  number={5},

  pages={1413-1432},

  issn={1573-1375},

  doi={10.1007/s11222-016-9696-4},

  url={https://doi.org/10.1007/s11222-016-9696-4}

}

```