Abstract
Cross-validation can be used to measure a model’s predictive accuracy for the purpose of model comparison, averaging, or selection. Standard leave-one-out cross-validation (LOO-CV) requires that the observation model can be factorized into simple terms, but a lot of important models in temporal and spatial statistics do not have this property or are inefficient or unstable when forced into a factorized form. We derive how to efficiently compute and validate both exact and approximate LOO-CV for any Bayesian non-factorized model with a multivariate normal or Student-t distribution on the outcome values. We demonstrate the method using lagged simultaneously autoregressive (SAR) models as a case study.
Original language | English |
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Pages (from-to) | 1243–1261 |
Number of pages | 19 |
Journal | Computational Statistics |
Volume | 36 |
Early online date | 2020 |
DOIs | |
Publication status | Published - 2021 |
MoE publication type | A1 Journal article-refereed |
Keywords
- Bayesian inference
- Cross-validation
- Non-factorized models
- Pareto-smoothed importance-sampling
- SAR models