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Support moment matching LOO for LOO predictions #1674

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avehtari opened this issue Jul 19, 2024 · 1 comment
Closed

Support moment matching LOO for LOO predictions #1674

avehtari opened this issue Jul 19, 2024 · 1 comment

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@avehtari
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Currently, moment matching can be used only to improve pointwise values.

LOO predictions are useful for examining coverage of LOO predictive intervals and uniformity of LOO-PIT. It would be useful to support moment matching for these, too.

Instead of storing moment matching transformed draws or transformation parameters (which may take lot of memory), I think re-computing moment matching when doing LOO predictions could be fast enough, especially if the moment matching would be done only for those LOO folds that originally had high Pareto-k value.

@paul-buerkner
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This should now be working :-)

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