Posterior Covariance Information Criterion


الملخص بالإنكليزية

We introduce an information criterion, PCIC, for predictive evaluation based on quasi-posterior distributions. It is regarded as a natural generalisation of the widely applicable information criterion (WAIC) and can be computed via a single Markov chain Monte Carlo run. PCIC is useful in a variety of predictive settings that are not well dealt with in WAIC, including weighted likelihood inference and quasi-Bayesian prediction

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