WAIC and LOO-CV — Bayesian model comparison.
hardAnswer
- Both estimate out-of-sample predictive performance.
- WAIC = - where lppd = expected log posterior predictive on training data, number of parameters via posterior variance.
- LOO-CV: exact leave-one-out log predictive; approximated efficiently via PSIS-LOO (Vehtari et al.) using importance sampling — modern default in Stan / PyMC / Arviz.
- Both replace AIC / BIC / Bayes factor for model comparison in most cases.
Check yourself — multiple choice
- Only AIC
- Both estimate out-of-sample predictive fit; WAIC uses ; PSIS-LOO approximates LOO-CV via importance sampling — modern Stan/PyMC default
- Same as BIC
- Not real
WAIC / PSIS-LOO: modern predictive-fit Bayesian model comparison.
#bayesian
Practise Statistics Fundamentals
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